Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/55225
Título: | Analysis of estimation methods for the extremal index |
Autor(es): | Ferreira, Marta Susana |
Palavras-chave: | Declustering Extreme value theory Local dependence conditions Stationary sequences |
Data: | Abr-2018 |
Editora: | Università del Salento |
Revista: | Electronic Journal of Applied Statistical Analysis |
Resumo(s): | Many datasets present time-dependent variation and short-term clustering within extreme values. The extremal index is a primary measure to evaluate clustering of high values in a stationary sequence. Estimation procedures are based on the choice of a threshold and/or a declustering parameter or a block size. Here we revise several different methods and compare them through simulation. In particular, we will see that a recent declustering methodology may be useful for the popular runs estimator and for a new estimator that works under the validation of a local dependence condition. An application to real data is also presented. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/55225 |
DOI: | 10.1285/i20705948v11n1p296 |
ISSN: | 2070-5948 |
e-ISSN: | 2070-5948 |
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 | |
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publicado.pdf | 441,52 kB | Adobe PDF | Ver/Abrir |