A sliding blocks estimator for the extremal index

DOI10.1214/08-EJS345zbMATH Open1326.60075arXiv0812.4233OpenAlexW2045092254MaRDI QIDQ1952012FDOQ1952012

C. Y. Robert, Christopher A. T. Ferro, Johan Segers

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: In extreme value statistics for stationary sequences, blocks estimators are usually constructed by using disjoint blocks because exceedances over high thresholds of different blocks can be assumed asymptotically independent. In this paper we focus on the estimation of the extremal index which measures the degree of clustering of extremes. We consider disjoint and sliding blocks estimators and compare their asymptotic properties. In particular we show that the sliding blocks estimator is more efficient than the disjoint version and has a smaller asymptotic bias. Moreover we propose a method to reduce its bias when considering sufficiently large block sizes.

Full work available at URL: https://arxiv.org/abs/0812.4233

zbMATH Keywords

extremal indexclusters of extremesstationary time seriesmaximal correlation coefficientmixing coefficientintervals estimatorsample maximumFTSE 100MAX-autoregressive processmoving maximum process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

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Cited In (26)

• Estimating the extremal index through local dependence
• Subsampling weakly dependent time series and application to extremes
• Extremal index blocks estimator: the threshold and the block size choice
• Inference for heavy tailed stationary time series based on sliding blocks
• Methods for estimating the upcrossings index: improvements and comparison
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• Tail inference using extreme U-statistics
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• Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
• Some variations on the extremal index
• Measures of serial extremal dependence and their estimation
• Sparse moving maxima models for tail dependence in multivariate financial time series
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• Weak convergence of a pseudo maximum likelihood estimator for the extremal index
• MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES
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• A horse race between the block maxima method and the peak-over-threshold approach
• On the measurement and treatment of extremes in time series
• Estimating the upcrossings index
• Improved interexceedance-times-based estimator of the extremal index using truncated distribution

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