期刊
EXTREMES
卷 18, 期 4, 页码 585-603出版社
SPRINGER
DOI: 10.1007/s10687-015-0221-5
关键词
Block maxima; Extremal index; Extreme value theory; Sea-surge heights; Semiparametric estimation
The extremal index theta, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate theta semiparametrically, using the relationship between the distribution of block maxima and the marginal distribution of a process to define a semiparametric model. We show that these semiparametric estimators are simpler and substantially more efficient than their parametric counterparts. We seek to improve efficiency further using maxima over sliding blocks. A simulation study shows that the semiparametric estimators are competitive with the leading estimators. An application to sea-surge heights combines inferences about theta with a standard extreme value analysis of block maxima to estimate marginal quantiles.
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