Inference for the limiting cluster size distribution of extreme values
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Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes (62M99) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: estimation (62M09)
Abstract: Any limiting point process for the time normalized exceedances of high levels by a stationary sequence is necessarily compound Poisson under appropriate long range dependence conditions. Typically exceedances appear in clusters. The underlying Poisson points represent the cluster positions and the multiplicities correspond to the cluster sizes. In the present paper we introduce estimators of the limiting cluster size probabilities, which are constructed through a recursive algorithm. We derive estimators of the extremal index which plays a key role in determining the intensity of cluster positions. We study the asymptotic properties of the estimators and investigate their finite sample behavior on simulated data.
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- scientific article; zbMATH DE number 597912
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Cited in
(31)- Compound Poisson approximation for simple transient random walks in random sceneries
- Modeling clusters of extreme values
- Compound Poisson approximation
- Distributions of clusters of exceedances and their applications in telecommunication networks
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
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- Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities
- Cluster size distributions of extreme values for the Poisson-Voronoi tessellation
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