Comparing two block estimation procedures for the extremal index: An application

Dora Prata Gomes, Manuela Neves

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

When extending the analysis of the limiting behaviour of the extreme values from independent and identically distributed sequences to stationary sequences a key parameter appears, the extremal index θ, whose accurate estimation is not easy and is not completely solved. Here we focus on the estimation of θ using blocks estimators, that can be constructed by using disjoint or sliding blocks. Both blocks construction require the choice of a threshold and a block length. The main objective of this work is to revisit another block estimation procedure that only depends on the block length, although some conditions on the underlying process need to be verified. An application will be presented for illustrating the proposed procedure.

Original languageEnglish
Title of host publicationInternational Conference on Numerical Analysis and Applied Mathematics, ICNAAM 2020
EditorsT.E. Simos, Ch. Tsitouras
PublisherAIP Publishing
Number of pages5
Volume2425
ISBN (Electronic)978-073544182-8
DOIs
Publication statusPublished - 6 Apr 2022
EventInternational Conference on Numerical Analysis and Applied Mathematics 2020, ICNAAM 2020 - Rhodes, Greece
Duration: 17 Sep 202023 Sep 2020

Publication series

NameAIP Conference Proceedings
PublisherAIP Publishing
Volume2425
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

ConferenceInternational Conference on Numerical Analysis and Applied Mathematics 2020, ICNAAM 2020
Country/TerritoryGreece
CityRhodes
Period17/09/2023/09/20

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