Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/44118
Título: | A study of the Jackknife method in the estimation of the extremal index |
Autor(es): | Ferreira, Marta Susana |
Palavras-chave: | Extreme values theory Statistics of extremes Local dependence conditions Extreme value theory Jackknife methodology |
Data: | 2016 |
Editora: | South African Statistical Association |
Revista: | South African Statistical Journal |
Resumo(s): | Clustering of high values occurs in many real situations and affects inference on extremal events. For stationary dependent sequences, under general local and asymptotic dependence conditions, the degree of clustering is measured through a parameter called extremal index. The estimation of extreme events or parameters is usually based on a k number of top order statistics or on the exceedances of a high threshold u and is very sensitive to either of these choices. In particular, the bias increases with a growing k and a decreasing u. The use of Jackknife methodology may help on the reduction of the bias. We analyze this method through a simulation study applied to several estimators of the extremal index. An application to real data sets illustrates the results. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/44118 |
ISSN: | 0038-271X |
Arbitragem científica: | yes |
Acesso: | Acesso restrito autor |
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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extremalindexGJ.pdf Acesso restrito! | 895,06 kB | Adobe PDF | Ver/Abrir |
Este trabalho está licenciado sob uma Licença Creative Commons