Electronic Journal of Statistics
- Electron. J. Statist.
- Volume 3 (2009), 993-1020.
A sliding blocks estimator for the extremal index
In extreme value statistics for stationary sequences, blocks estimators are usually constructed by using disjoint blocks because exceedances over high thresholds of different blocks can be assumed asymptotically independent. In this paper we focus on the estimation of the extremal index which measures the degree of clustering of extremes. We consider disjoint and sliding blocks estimators and compare their asymptotic properties. In particular we show that the sliding blocks estimator is more efficient than the disjoint version and has a smaller asymptotic bias. Moreover we propose a method to reduce its bias when considering sufficiently large block sizes.
Electron. J. Statist., Volume 3 (2009), 993-1020.
First available in Project Euclid: 21 September 2009
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Clusters of extremes extremal index FTSE 100 intervals estimator max-autoregressive process moving maximum process maximal correlation coefficient mixing coefficient sample maximum stationary time series
Robert, Christian Y.; Segers, Johan; Ferro, Christopher A.T. A sliding blocks estimator for the extremal index. Electron. J. Statist. 3 (2009), 993--1020. doi:10.1214/08-EJS345. https://projecteuclid.org/euclid.ejs/1253539754