Estimating the extremal index through the tail dependence concept
Marta Ferreira
Discussiones Mathematicae Probability and Statistics, Tome 35 (2015), p. 61-74 / Harvested from The Polish Digital Mathematics Library
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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 in the end.

Publié le : 2015-01-01
EUDML-ID : urn:eudml:doc:276467 
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     year = {2015},
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     language = {en},
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Marta Ferreira. Estimating the extremal index through the tail dependence concept. Discussiones Mathematicae Probability and Statistics, Tome 35 (2015) pp. 61-74. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1173/

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