Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/50655
Título: | Estimating the extremal index through local dependence |
Autor(es): | Ferreira, Helena Ferreira, Marta Susana |
Palavras-chave: | Extreme value theory Stationary sequences Dependence conditions Extremal index |
Data: | 2018 |
Editora: | Institute Henri Poincaré |
Revista: | Annales de l'Institut Henri Poincaré. B, Probabilités et Statistiques |
Resumo(s): | 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)(un). We compare a process satisfying one of this hierarchy of increasingly weaker local mixing conditions with a process of cycles satisfying the D(2)(un) condition. We also analyze local dependence within moving maxima processes and derive a necessary and sufficient condition for D(k)(un). 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. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/50655 |
DOI: | 10.1214/16-AIHP815 |
ISSN: | 0246-0203 |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
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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extremalindexvf.pdf Acesso restrito! | 448,08 kB | Adobe PDF | Ver/Abrir |