@inbook{de22bedf2edb494b88055b42640449ce,

title = "Simulation Study of the Calibration Technique in the Extremal Index Estimation",

abstract = "Classical extreme value methods were first derived when the underlying process is assumed to be a sequence of independent and identically distributed random variables. However, when observations are taken along the time and/or the space the independence is an unrealistic assumption. A relevant parameter that arises in this situation is the extremal index, θ, characterizing the degree of local dependence in the extremes of a stationary series. Most of the semi-parametric estimators of this parameter show a strong dependence on the threshold un, with an increasing bias and a decreasing variance as such a threshold decreases. A procedure based on the calibration methodology is here considered as a way of controlling the bias of an estimator. Point and interval estimates for the extremal index are obtained. A simulation study has been performed to illustrate the procedure.",

author = "Gomes, {Dora Susana Raposo Prata}",

note = "Em minha opini{\~a}o esta publica{\c c}{\~a}o devia ser considerada como {"}proceeding{"} e n{\~a}o como {"}book-chapter{"}: s{\~a}o comunica{\c c}{\~o}es de confer{\^e}ncia.",

year = "2013",

month = jan,

day = "1",

language = "Unknown",

isbn = "978-3-642-34903-4/978-3-642-34904-1",

series = "Studies in Theoretical and Applied Statistics",

publisher = "Jo{\~a}o Lita da Silva, Frederico Caeiro, Isabel Nat{\'a}rio and Carlos A. Braumann",

pages = "381--389",

booktitle = "Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications: part II",

}