Estimating the extremal index through the tail dependence concept

Detalhes bibliográficos
Autor(a) principal: Ferreira, Marta Susana
Data de Publicação: 2015
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/46967
Resumo: The extremal index θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.
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spelling Estimating the extremal index through the tail dependence conceptExtreme value theoryExtremal indexTail dependence coefficientCiências Naturais::MatemáticasThe extremal index θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.info:eu-repo/semantics/acceptedVersionUniversity of Zielona GóraUniversidade do MinhoFerreira, Marta Susana20152015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/46967eng1509-942310.7151/dmps.1173info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:44:42Zoai:repositorium.sdum.uminho.pt:1822/46967Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:42:27.341786Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Estimating the extremal index through the tail dependence concept
title Estimating the extremal index through the tail dependence concept
spellingShingle Estimating the extremal index through the tail dependence concept
Ferreira, Marta Susana
Extreme value theory
Extremal index
Tail dependence coefficient
Ciências Naturais::Matemáticas
title_short Estimating the extremal index through the tail dependence concept
title_full Estimating the extremal index through the tail dependence concept
title_fullStr Estimating the extremal index through the tail dependence concept
title_full_unstemmed Estimating the extremal index through the tail dependence concept
title_sort Estimating the extremal index through the tail dependence concept
author Ferreira, Marta Susana
author_facet Ferreira, Marta Susana
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Ferreira, Marta Susana
dc.subject.por.fl_str_mv Extreme value theory
Extremal index
Tail dependence coefficient
Ciências Naturais::Matemáticas
topic Extreme value theory
Extremal index
Tail dependence coefficient
Ciências Naturais::Matemáticas
description The extremal index θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/46967
url http://hdl.handle.net/1822/46967
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1509-9423
10.7151/dmps.1173
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv University of Zielona Góra
publisher.none.fl_str_mv University of Zielona Góra
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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