Journal
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
Volume 54, Issue 2, Pages 587-605Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/16-AIHP815
Keywords
Extreme value theory; Stationary sequences; Dependence conditions; Extremal index
Categories
Funding
- Portuguese Funds through FCT - Fundacao para a Ciencia e a Tecnologia [UID/MAT/00013/2013, UID/MAT/00006/2013, UID/Multi/04621/2013]
- [UID/MAT/00212/2013]
- Fundação para a Ciência e a Tecnologia [UID/Multi/04621/2013, UID/MAT/00013/2013] Funding Source: FCT
Ask authors/readers for more resources
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)(u(n)). We compare a process satisfying one of this hierarchy of increasingly weaker local mixing conditions with a process of cycles satisfying the D-(2)(u(n)) condition. We also analyze local dependence within moving maxima processes and derive a necessary and sufficient condition for D-(k)(u(n)). 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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available