Displaying similar documents to “Extremal behaviour of stationary processes: the calibration technique in the extremal index estimation”

Estimating the extremal index through the tail dependence concept

Marta Ferreira (2015)

Discussiones Mathematicae Probability and Statistics

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The extremal index Θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered...

Estimation for heavy tailed moving average process

Hakim Ouadjed, Tawfiq Fawzi Mami (2018)

Kybernetika

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In this paper, we propose two estimators for a heavy tailed MA(1) process. The first is a semi parametric estimator designed for MA(1) driven by positive-value stable variables innovations. We study its asymptotic normality and finite sample performance. We compare the behavior of this estimator in which we use the Hill estimator for the extreme index and the estimator in which we use the t-Hill in order to examine its robustness. The second estimator is for MA(1) driven by stable variables...