Method of moments estimators for the extremal index of a stationary time series

DOI10.1214/20-EJS1734MaRDI QIDQ2199704zbMATH OpenFDO

Authors Axel Bücher, Tobias Jennessen

Publication date 14 September 2020

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

Full work available at URL https://arxiv.org/abs/1912.08584, https://projecteuclid.org/euclid.ejs/1597975225

zbMATH Keywords

extremes of a stationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10)

Abstract: The extremal index $heta$, a number in the interval $[0,1]$, is known to be a measure of primal importance for analyzing the extremes of a stationary time series. New rank-based estimators for $heta$ are proposed which rely on the construction of approximate samples from the exponential distribution with parameter $heta$ that is then to be fitted via the method of moments. The new estimators are analyzed both theoretically as well as empirically through a large-scale simulation study. In specific scenarios, in particular for time series models with $hetaapprox1$, they are found to be superior to recent competitors from the literature.

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Cited in

(6)

• Extremal behaviour of stationary processes: the calibration technique in the extremal index estimation
• Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
• Statistics for heteroscedastic time series extremes
• Some variations on the extremal index
• Likelihood estimation of the extremal index
• Some aspects of extreme value statistics under serial dependence

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