Inference for the limiting cluster size distribution of extreme values
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Publication:1002158
DOI10.1214/07-AOS551zbMATH Open1158.62061arXiv0810.1150MaRDI QIDQ1002158FDOQ1002158
Authors: C. Y. Robert 
Publication date: 25 February 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0810.1150
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- scientific article; zbMATH DE number 597912
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)
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Cited In (30)
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