Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/86714
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Campo DC | Valor | Idioma |
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dc.contributor.author | Ferreira, Helena | por |
dc.contributor.author | Ferreira, Marta Susana | por |
dc.date.accessioned | 2023-10-09T07:28:51Z | - |
dc.date.available | 2023-10-09T07:28:51Z | - |
dc.date.issued | 2022 | - |
dc.identifier.issn | 0361-0926 | por |
dc.identifier.uri | https://hdl.handle.net/1822/86714 | - |
dc.description.abstract | The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal index is a recurrent theme in the literature and there are several methodologies for this purpose. The majority of existing methods depend on two parameters whose choice affects the performance of the estimators. Here we consider a new estimator depending only on one of the parameters, thus contributing to a decrease in the degree of uncertainty. A simulation study presents motivating results. An application to financial data will also be presented. | por |
dc.description.sponsorship | The first author was partially supported by the research unit Center of Mathematics and Applications of University of Beira Interior UIDB/00212/2020 -FCT (Fundacao para a Ciencia e a Tecnologia). The second author was financed by Portuguese Funds through FCT -Fundacao para a Ciencia e a Tecnologia within the Projects UIDB/00013/2020 and UIDP/00013/2020 of Center of Mathematics of the University of Minho, UIDB/00006/2020 and UIDP/00006/2020 of Center of Statistics and its Applications of University of Lisbon, UIDB/04621/2020 and UIDP/04621/2020 of Center for Computational and Stochastic Mathematics and PTDC/MAT-STA/28243/2017. | por |
dc.language.iso | eng | por |
dc.publisher | Taylor & Francis | por |
dc.rights | openAccess | por |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | por |
dc.subject | Extreme value theory | por |
dc.subject | Stationary sequences | por |
dc.subject | Dependence conditions | por |
dc.subject | Extremal index | por |
dc.subject | tail dependence | por |
dc.subject | Primary | por |
dc.subject | Secondary | por |
dc.subject | Primary: 60G70 | por |
dc.subject | Secondary: 62G32 | por |
dc.title | A new blocks estimator for the extremal index | por |
dc.type | article | por |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | https://www.tandfonline.com/doi/full/10.1080/03610926.2022.2050405 | por |
oaire.citationStartPage | 7660 | por |
oaire.citationEndPage | 7668 | por |
oaire.citationIssue | 21 | por |
oaire.citationVolume | 52 | por |
dc.identifier.doi | 10.1080/03610926.2022.2050405 | por |
dc.subject.fos | Ciências Naturais::Matemáticas | por |
dc.subject.wos | Science & Technology | por |
sdum.journal | Communications in Statistics - Theory and Methods | por |
oaire.version | AO | por |
dc.subject.ods | Água potável e saneamento | por |
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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arxivFerreiraHeM.pdf | manuscript | 159,6 kB | Adobe PDF | Ver/Abrir |
Este trabalho está licenciado sob uma Licença Creative Commons