A sliding blocks estimator for the extremal index

DOI10.1214/08-EJS345zbMath1326.60075arXiv0812.4233OpenAlexW2045092254MaRDI QIDQ1952012

Christian Y. Robert, Christopher A. T. Ferro, Johan Segers

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.4233

zbMATH Keywords

extremal indexstationary time seriesmaximal correlation coefficientmixing coefficientintervals estimatorclusters of extremessample maximumFTSE 100MAX-autoregressive processmoving maximum process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (24)

Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution ⋮ Estimating the extremal index through local dependence ⋮ Estimation of cluster functionals for regularly varying time series: runs estimators ⋮ Multiple block sizes and overlapping blocks for multivariate time series extremes ⋮ Estimating the upcrossings index ⋮ Sparse moving maxima models for tail dependence in multivariate financial time series ⋮ Tail inference using extreme U-statistics ⋮ Some variations on the extremal index ⋮ Method of moments estimators for the extremal index of a stationary time series ⋮ Regenerative block-bootstrap confidence intervals for tail and extremal indexes ⋮ Measures of serial extremal dependence and their estimation ⋮ On the measurement and treatment of extremes in time series ⋮ Inference for heavy tailed stationary time series based on sliding blocks ⋮ Subsampling weakly dependent time series and application to extremes ⋮ Methods for estimating the upcrossings index: improvements and comparison ⋮ An efficient semiparametric maxima estimator of the extremal index ⋮ Weak convergence of a pseudo maximum likelihood estimator for the extremal index ⋮ MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES ⋮ Asymptotics for sliding blocks estimators of rare events ⋮ Estimation of cluster functionals for regularly varying time series: sliding blocks estimators ⋮ Multiple thresholds in extremal parameter estimation ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ Improved interexceedance-times-based estimator of the extremal index using truncated distribution ⋮ Extremal index blocks estimator: the threshold and the block size choice

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