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)- Extremal behaviour of models with multivariate random recurrence representation
- Cluster size distributions of extreme values for the Poisson-Voronoi tessellation
- Clusters of extremes: modeling and examples
- Regenerative block-bootstrap confidence intervals for tail and extremal indexes
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