A new blocks estimator for the extremal index

Detalhes bibliográficos
Autor(a) principal: Ferreira, Helena
Data de Publicação: 2022
Outros Autores: Ferreira, Marta Susana
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/86714
Resumo: 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.
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spelling A new blocks estimator for the extremal indexExtreme value theoryStationary sequencesDependence conditionsExtremal indextail dependencePrimarySecondaryPrimary: 60G70Secondary: 62G32Ciências Naturais::MatemáticasScience & TechnologyÁgua potável e saneamentoThe 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.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.Taylor & FrancisUniversidade do MinhoFerreira, HelenaFerreira, Marta Susana20222022-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/86714eng0361-092610.1080/03610926.2022.2050405https://www.tandfonline.com/doi/full/10.1080/03610926.2022.2050405info: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:RCAAP2023-10-14T01:22:26Zoai:repositorium.sdum.uminho.pt:1822/86714Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:35:31.186852Repositório 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 A new blocks estimator for the extremal index
title A new blocks estimator for the extremal index
spellingShingle A new blocks estimator for the extremal index
Ferreira, Helena
Extreme value theory
Stationary sequences
Dependence conditions
Extremal index
tail dependence
Primary
Secondary
Primary: 60G70
Secondary: 62G32
Ciências Naturais::Matemáticas
Science & Technology
Água potável e saneamento
title_short A new blocks estimator for the extremal index
title_full A new blocks estimator for the extremal index
title_fullStr A new blocks estimator for the extremal index
title_full_unstemmed A new blocks estimator for the extremal index
title_sort A new blocks estimator for the extremal index
author Ferreira, Helena
author_facet Ferreira, Helena
Ferreira, Marta Susana
author_role author
author2 Ferreira, Marta Susana
author2_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Ferreira, Helena
Ferreira, Marta Susana
dc.subject.por.fl_str_mv Extreme value theory
Stationary sequences
Dependence conditions
Extremal index
tail dependence
Primary
Secondary
Primary: 60G70
Secondary: 62G32
Ciências Naturais::Matemáticas
Science & Technology
Água potável e saneamento
topic Extreme value theory
Stationary sequences
Dependence conditions
Extremal index
tail dependence
Primary
Secondary
Primary: 60G70
Secondary: 62G32
Ciências Naturais::Matemáticas
Science & Technology
Água potável e saneamento
description 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.
publishDate 2022
dc.date.none.fl_str_mv 2022
2022-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/86714
url https://hdl.handle.net/1822/86714
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0361-0926
10.1080/03610926.2022.2050405
https://www.tandfonline.com/doi/full/10.1080/03610926.2022.2050405
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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