Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/50655

TitleEstimating the extremal index through local dependence
Author(s)Ferreira, Helena
Ferreira, Marta Susana
KeywordsExtreme value theory
Stationary sequences
Dependence conditions
Extremal index
Issue date2018
PublisherInstitute Henri Poincaré
JournalAnnales de l'Institut Henri Poincaré. B, Probabilités et Statistiques
Abstract(s)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 sufficient 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 financial time series is also presented.
TypeArticle
URIhttp://hdl.handle.net/1822/50655
DOI10.1214/16-AIHP815
ISSN0246-0203
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

Files in This Item:
File Description SizeFormat 
extremalindexvf.pdf
  Restricted access
448,08 kBAdobe PDFView/Open

Partilhe no FacebookPartilhe no TwitterPartilhe no DeliciousPartilhe no LinkedInPartilhe no DiggAdicionar ao Google BookmarksPartilhe no MySpacePartilhe no Orkut
Exporte no formato BibTex mendeley Exporte no formato Endnote Adicione ao seu ORCID