An efficient semiparametric maxima estimator of the extremal index

DOI10.1007/s10687-015-0221-5zbMath1327.62325arXiv1506.06831OpenAlexW3102637449MaRDI QIDQ111088

Paul J. Northrop, Paul J. Northrop

Publication date: 2 August 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.06831

zbMATH Keywords

semiparametric estimationextreme value theoryextremal indexblock maximasea-surge heights

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32) Applications of statistics to physics (62P35) Asymptotic properties of parametric tests (62F05)

Related Items (17)

Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution ⋮ Estimating the extremal index through local dependence ⋮ Multiple block sizes and overlapping blocks for multivariate time series extremes ⋮ A new blocks estimator for the extremal index ⋮ A modeler's guide to extreme value software ⋮ Some variations on the extremal index ⋮ Statistics for heteroscedastic time series extremes ⋮ Method of moments estimators for the extremal index of a stationary time series ⋮ Inference for heavy tailed stationary time series based on sliding blocks ⋮ exdex ⋮ Estimation of the extremal index using censored distributions ⋮ Methods for estimating the upcrossings index: improvements and comparison ⋮ Weak convergence of a pseudo maximum likelihood estimator for the extremal index ⋮ Multiple thresholds in extremal parameter estimation ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ Improved interexceedance-times-based estimator of the extremal index using truncated distribution ⋮ Extremal index blocks estimator: the threshold and the block size choice

Uses Software

• boot
• np
• bootlib

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Likelihood estimation of the extremal index
• Inference for clustered data using the independence loglikelihood
• Model misspecification in peaks over threshold analysis
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• Rank estimates in a class of semiparametric two-sample models
• Inference for the limiting cluster size distribution of extreme values
• Extremes and related properties of random sequences and processes
• Point processes and multivariate extreme values
• New estimators for the extremal index and other cluster characteristics
• A sliding blocks estimator for the extremal index
• Basic properties and prediction of max-ARMA processes
• Maximum likelihood estimation in a class of nonregular cases
• The extremal index for a Markov chain
• The Stationary Bootstrap
• Inference for Clusters of Extreme Values
• Statistics of Extremes
• Automatic declustering of rare events
• Maximum Likelihood Estimation of Misspecified Models
• A comparison of methods for estimating the extremal index

This page was built for publication: An efficient semiparametric maxima estimator of the extremal index