Methods for estimating the upcrossings index: improvements and comparison

DOI10.1007/S00362-017-0876-XMaRDI QIDQ2010796zbMATH OpenOpenAlexFDO

Authors J. R. Sebastião, Ana Paula Martins

Publication date 28 November 2019

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.00053, http://hdl.handle.net/10400.11/6700

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)

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.

Recommendations

• Estimating the upcrossings index
• Clustering of upcrossings of high values
• The upcrossings index and the extremal index
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• On the multivariate upcrossings index

Cites work

• scientific article; zbMATH DE number 4109747 (Why is no real title available?)
• A comparison of methods for estimating the extremal index
• A review of extreme value threshold estimation and uncertainty quantification
• A sliding blocks estimator for the extremal index
• An efficient semiparametric maxima estimator of the extremal index
• An extremal markovian sequence
• Basic properties and prediction of max-ARMA processes
• Calculating the extremal index for a class of stationary sequences
• Clustering of upcrossings of high values
• Estimating the parameters of rare events
• Estimating the tail-dependence coefficient: properties and pitfalls
• Estimating the upcrossings index
• Extremes and local dependence in stationary sequences
• Inference for Clusters of Extreme Values
• Likelihood estimation of the extremal index
• Modeling extreme events: sample fraction adaptive choice in parameter estimation
• Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
• Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
• On extremal dependence: some contributions
• On the exceedance point process for a stationary sequence
• Some Limit Theorems for Random Functions. I
• Specification tests for the error distribution in GARCH models
• The upcrossings index and the extremal index

Cited in

(6)

• The upcrossings index and the extremal index
• Extremal index blocks estimator: the threshold and the block size choice
• Clustering of upcrossings of high values
• Heavy tail index estimation based on block order statistics
• scientific article; zbMATH DE number 3846654 (Why is no real title available?)
• Estimating the upcrossings index

This page was built for publication: Methods for estimating the upcrossings index: improvements and comparison

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010796)