Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/46967
Título: | Estimating the extremal index through the tail dependence concept |
Autor(es): | Ferreira, Marta Susana |
Palavras-chave: | Extreme value theory Extremal index Tail dependence coefficient |
Data: | 2015 |
Editora: | University of Zielona Góra |
Revista: | Discussiones Mathematicae: Probability and Statistics |
Resumo(s): | The extremal index θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/46967 |
DOI: | 10.7151/dmps.1173 |
ISSN: | 1509-9423 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
ferreira_extremalindex.pdf | 361,5 kB | Adobe PDF | Ver/Abrir |