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arxiv: 1505.02077 · v1 · pith:Z3AHKJJMnew · submitted 2015-05-08 · 🧮 math.ST · stat.TH

Estimating the extremal index through local dependence

classification 🧮 math.ST stat.TH
keywords localdependenceconditionextremalcompareconditionsindexparameter
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The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition D$^{(k)}$($u_n$). We compare a process satisfying one of this hierarchy of increasingly weaker local mixing conditions with a process of cycles satisfying the D$^{(2)}$($u_n$) condition. We also analyze local dependence within moving maxima processes and derive a necessary and sufficient condition for D$^{(k)}$($u_n$). In order to evaluate the performance of the proposed estimators, we apply an empirical diagnostic for local dependence conditions, we conduct a simulation study and compare with existing methods. An application to a financial time series is also presented.

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