Estimating the extremal index through local dependence
The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition D(k)(un). We compare a process satisfying one of this hierarchy of in...
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| Format: | article |
| Language: | eng |
| Published: |
2020
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| Online Access: | http://hdl.handle.net/10400.6/8169 |
| Country: | Portugal |
| Oai: | oai:ubibliorum.ubi.pt:10400.6/8169 |
| Summary: | The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition D(k)(un). We compare a process satisfying one of this hierarchy of increasingly weaker local mixing conditions with a process of cycles satisfying the D(2)(un) condition. We also analyze local dependence within moving maxima processes and derive a necessary and su cient condition for D(k)(un). In order to evaluate the performance of the proposed estimators, we apply an empirical diagnostic for local dependence conditions, we conduct a simulation study and compare with existing methods. An application to a nancial time series is also presented. |
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