English

Estimating the extremal index through local dependence

Statistics Theory 2015-05-11 v1 Statistics Theory

Abstract

The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition D(k)^{(k)}(unu_n). We compare a process satisfying one of this hierarchy of increasingly weaker local mixing conditions with a process of cycles satisfying the D(2)^{(2)}(unu_n) condition. We also analyze local dependence within moving maxima processes and derive a necessary and sufficient condition for D(k)^{(k)}(unu_n). In order to evaluate the performance of the proposed estimators, we apply an empirical diagnostic for local dependence conditions, we conduct a simulation study and compare with existing methods. An application to a financial time series is also presented.

Keywords

Cite

@article{arxiv.1505.02077,
  title  = {Estimating the extremal index through local dependence},
  author = {Helena Ferreira and Marta Ferreira},
  journal= {arXiv preprint arXiv:1505.02077},
  year   = {2015}
}
R2 v1 2026-06-22T09:30:32.064Z