Methods for estimating the upcrossings index: improvements and comparison

DOI10.1007/S00362-017-0876-XzbMATH Open1432.62143arXiv1508.00053OpenAlexW2962927440MaRDI QIDQ2010796FDOQ2010796

J. R. Sebastião, Ana Paula Martins

Publication date: 28 November 2019

Published in: Statistical Papers (Search for Journal in Brave)

Abstract: The upcrossings index $0leqetaleq1,$ a measure of the degree of local dependence in the upcrossings of a high level by a stationary process, plays, together with the extremal index $heta,$ an important role in extreme events modelling. For stationary processes, verifying a long range dependence condition, upcrossings of high thresholds in different blocks can be assumed asymptotically independent and therefore blocks estimators for the upcrossings index can be easily constructed using disjoint blocks. In this paper we focus on the estimation of the upcrossings index via the blocks method and properties such as consistency and asymptotic normality are studied. We also enlarge the family of runs estimators of $eta$ and provide an empirical way of checking local dependence conditions that control the clustering of upcrossings to improve the estimates obtained with the runs method. We compare the performance of a range of different estimators for $eta$ and illustrate the methods using simulated data and financial data.

Full work available at URL: https://arxiv.org/abs/1508.00053

zbMATH Keywords

dependence conditionsconsistency and asymptotic normalityblocks estimatorsruns estimatorsupcrossings index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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