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 1386-1999Full text not available from this repository.
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.
|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|
|Deposited On:||17 Nov 2008 16:24|
|Last Modified:||07 Jan 2015 13:11|
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