Estimating the multivariate extremal index function

Estimating the multivariate extremal index function

Christian Y. Robert

Source: Bernoulli Volume 14, Number 4 (2008), 1027-1064.

Abstract

The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures the degree of clustering of extremes in the multivariate process. In this paper, we construct nonparametric estimators of this function and prove their asymptotic normality under long-range dependence and moment conditions. The results are illustrated by means of a simulation study.

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Keywords: cluster-size distributions; exceedance point processes; extreme value theory; multivariate extremal index function

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Permanent link to this document: http://projecteuclid.org/euclid.bj/1225980570
Digital Object Identifier: doi:10.3150/08-BEJ145
Zentralblatt MATH identifier: 1155.62039
Mathematical Reviews number (MathSciNet): MR2543585

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