Detail publikace

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

HOLEŠOVSKÝ, J. FUSEK, M.

Originální název

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

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

Extremal index; Extreme value theory; Truncation; Clusters

Autoři

HOLEŠOVSKÝ, J.; FUSEK, M.

Vydáno

24. 6. 2022

Nakladatel

Springer

Místo

Berlin

ISSN

1386-1999

Periodikum

EXTREMES

Ročník

25

Číslo

4

Stát

Spojené státy americké

Strany od

695

Strany do

720

Strany počet

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"
}