Estimating the extremal index through local dependence
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(). We compare a process satisfying one of this hierarchy of increasingly weaker local mixing conditions with a process of cycles satisfying the D() condition. We also analyze local dependence within moving maxima processes and derive a necessary and sufficient condition for D(). 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.
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}
}