Publication detail

Improved interexceedance-times-based estimator of the extremal index using truncated distribution

HOLEŠOVSKÝ, J. FUSEK, M.

Original Title

Improved interexceedance-times-based estimator of the extremal index using truncated distribution

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. This paper presents a novel approach to estimation of the extremal index based on truncation of interexceedance times. The truncated estimator based on the maximum likelihood method is derived together with its first-order bias. The estimator is further improved using penultimate approximation to the limiting mixture distribution. In order to assess the 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; Truncation; Clusters

Authors

HOLEŠOVSKÝ, J.; FUSEK, M.

Released

24. 6. 2022

Publisher

Springer

Location

Berlin

ISBN

1386-1999

Periodical

EXTREMES

Year of study

25

Number

4

State

United States of America

Pages from

695

Pages to

720

Pages count

26

URL

https://link.springer.com/article/10.1007/s10687-022-00444-8

BibTex

@article{BUT178357,
  author="Jan {Holešovský} and Michal {Fusek}",
  title="Improved interexceedance-times-based estimator of the extremal index using truncated distribution",
  journal="EXTREMES",
  year="2022",
  volume="25",
  number="4",
  pages="695--720",
  doi="10.1007/s10687-022-00444-8",
  issn="1386-1999",
  url="https://link.springer.com/article/10.1007/s10687-022-00444-8"
}