Sensitivity Assessment and Comparison of Maxima Methods in the Estimation of Extremal Index

conference paper

English

Extremal index is the primary measure of local dependence of extreme values and plays important role in extreme value estimation for stationary processes. The maxima estimators are often preferred in practical situations. These estimators, based on properties of the block maxima, are asymptotically characterized by the Generalized extreme value distribution. In contrast to other methods, the maxima estimators gain advantage in stability to the choice of auxiliary parameters. Still the main part of the maxima methods is selection of a proper approximation to the marginal distribution of the underlying process. Although the suitability of the approximation may significantly affect the estimation quality, to the effect of available approaches has not been paid a great interest in the literature. The aim of this contribution is the comparison of available sampling schemes and the assessment of sensitivity of existing maxima estimates of the extremal index.

extreme value; extremal index; stationary series; block maxima; resampling

HOLEŠOVSKÝ, J.

18. 12. 2017

University of Defence

Brno, Czech Republic

978-80-7582-026-6

MITAV 2017, Post-Conference Proceedings of Extended Versions of Selected Papers

110

120

10

http://mitav.unob.cz/data/MITAV%202017%20Proceedings.pdf