Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/86714
Título: | A new blocks estimator for the extremal index |
Autor(es): | Ferreira, Helena Ferreira, Marta Susana |
Palavras-chave: | Extreme value theory Stationary sequences Dependence conditions Extremal index tail dependence Primary Secondary Primary: 60G70 Secondary: 62G32 |
Data: | 2022 |
Editora: | Taylor & Francis |
Revista: | Communications in Statistics - Theory and Methods |
Resumo(s): | The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal index is a recurrent theme in the literature and there are several methodologies for this purpose. The majority of existing methods depend on two parameters whose choice affects the performance of the estimators. Here we consider a new estimator depending only on one of the parameters, thus contributing to a decrease in the degree of uncertainty. A simulation study presents motivating results. An application to financial data will also be presented. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/86714 |
DOI: | 10.1080/03610926.2022.2050405 |
ISSN: | 0361-0926 |
Versão da editora: | https://www.tandfonline.com/doi/full/10.1080/03610926.2022.2050405 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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arxivFerreiraHeM.pdf | manuscript | 159,6 kB | Adobe PDF | Ver/Abrir |
Este trabalho está licenciado sob uma Licença Creative Commons