Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/11074

TitleTail and dependence behaviour of levels that persist for a fixed period of time
Author(s)Ferreira, Marta Susana
Castro, Luisa Canto e
KeywordsMax-autoregressive processes
Tail index
Extremal index
Tail dependence index
Tail empirical quantile function
Issue date9-Nov-2007
PublisherSpringer
JournalExtremes
Citation"Extremes". ISSN 1386-1999. 11:2 (Nov. 2007) 113-133.
Abstract(s)This work emerges from a study of the extremal behavior of a daily maximum sea water levels series, $\{X_i\}$ , presented in Draisma \cite{drai}. In its approach, a new series, $\{Y_i\}$ , is defined, consisting of water levels that persist for a fixed period of time. In this paper, we study the tail behavior of $\{Y_i\}$ , in case $\{X_i\}$ is independent and identically distributed (i.i.d.) and in case $\{X_i\}$ is a max-autoregressive sequence (we will consider two different max-autoregressive processes), whose distribution function is in the Fr\'echet domain of attraction. We also determine Ledford and Tawn tail dependence index (\cite{tawn1}, \cite{tawn2}) and we analyze the asymptotic tail dependence of the random pair $(Y_i,Y_{i+m})$, in all considered cases. According to Drees \cite{drees1}, we obtain the limit behavior of the tail empirical quantile function associated with a random sample $(Y_1,Y_2,...Y_n)$ and hence the asymptotic normality of a class of estimators of the tail index that includes Hill estimator.
TypeArticle
URIhttp://hdl.handle.net/1822/11074
ISSN1386-1999 (on line)
1572-915X (print)
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 
M_FerrLevels_p.pdf
  Restricted access
Documento principal80,86 kBAdobe PDFView/Open    Request a copy!

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