Extremal index: estimation and resampling

Marta Ferreira ()
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Marta Ferreira: Universidade do Minho

Computational Statistics, 2024, vol. 39, issue 5, No 12, 2703-2720

Abstract: Abstract The duration of extremes in time leads to a phenomenon known as clustering of high values, with a strong impact on risk assessment. The extremal index is a measure developed within Extreme Value Theory that quantifies the degree of clustering of high values. In this work we will consider the cycles estimator introduced in Ferreira and Ferreira (Ann Inst Henri Poincare Probab Stat 54(2):587–605, 2018). A reduced bias estimator based on the Jackknife methodology will be presented. The bootstrap technique will also be considered in the inference and will allow to obtain confidence intervals. The performance will be analyzed based on simulation. We found our proposal effective in reducing bias and it compares favorably with some well-known methods. An application of the methods to real data will also be presented.

Keywords: Extreme value theory; Stationary sequences; Jackknife; Block bootstrap; Tail (in)dependence; Extremal index (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00180-023-01406-9

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