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HOLEŠOVSKÝ, J. FUSEK, M.
Original Title
Estimation of the extremal index using censored distributions
Type
journal article in Web of Science
Language
English
Original Abstract
The extremal index is an important parameter in the characterization of extreme values of a stationary sequence, since it measures short-range dependence at extreme values and governs clustering of extremes. This paper presents a novel approach to estimation of the extremal index based on artificial censoring of inter-exceedance times. The censored estimator based on the maximum likelihood method is derived together with its variance, which is estimated from the expected Fisher information measure. In order to evaluate performance of the proposed estimator, a simulation study is carried out for various stationary processes satisfying the local dependence condition $D^{(k)}(u_n)$. An application to daily maximum temperatures at Uccle, Belgium, is also presented.
Keywords
Extremal index; Extreme value theory; Censoring; Clusters
Authors
HOLEŠOVSKÝ, J.; FUSEK, M.
Released
25. 5. 2020
Publisher
Springer
Location
Berlin
ISBN
1386-1999
Periodical
EXTREMES
Year of study
23
Number
2
State
United States of America
Pages from
197
Pages to
213
Pages count
17
URL
https://link.springer.com/article/10.1007/s10687-020-00374-3
BibTex
@article{BUT161099, author="Jan {Holešovský} and Michal {Fusek}", title="Estimation of the extremal index using censored distributions", journal="EXTREMES", year="2020", volume="23", number="2", pages="197--213", doi="10.1007/s10687-020-00374-3", issn="1386-1999", url="https://link.springer.com/article/10.1007/s10687-020-00374-3" }