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A comparison of methods for estimating the extremal index.

Navarette-Ancona, Miguel A. and Tawn, Jonathan A. (2000) A comparison of methods for estimating the extremal index. Extremes, 3 (1). pp. 5-38. ISSN 1386-1999

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Abstract

The extremal index, (01), is the key parameter when extending discussions of the limiting behavior of the extreme values from independent and identically distributed sequences to stationary sequences. As measures the limiting dependence of exceedances over a threshold u, as u tends to the upper endpoint of the distribution, it may not always be informative about the extremal dependence at levels of practical interest. Therefore we also consider a threshold-based extremal index, (u). We compare the performance of a range of different estimators for and (u) covering processes with < 1 and = 1. We find that the established methods for estimating actually estimate (u), so perform well only when (u) . For Markov processes, we introduce an estimator which is as good as the established methods when (u) but provides an improvement when (u) < = 1. We illustrate our methods using simulated data and daily rainfall measurements.

Item Type: Article
Journal or Publication Title: Extremes
Uncontrolled Keywords: asymptotic independence - clusters - coefficient of tail dependence - extremal index - rainfalls
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 19363
Deposited By: ep_ss_importer
Deposited On: 17 Nov 2008 16:24
Refereed?: Yes
Published?: Published
Last Modified: 09 Oct 2013 15:40
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19363

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