Estimating the upcrossings index

DOI10.1007/S11749-013-0315-9zbMATH Open1277.62201arXiv1204.1905OpenAlexW1991484868MaRDI QIDQ384754FDOQ384754

J. R. Sebastião, Helena Ferreira, Ana Paula Martins, Luisa Pereira

Publication date: 28 November 2013

Published in: Test (Search for Journal in Brave)

Abstract: For stationary sequences, under general local and asymptotic dependence restrictions, any limiting point process for time normalized upcrossings of high levels is a compound Poisson process, i.e., there is a clustering of high upcrossings, where the underlying Poisson points represent cluster positions, and the multiplicities correspond to cluster sizes. For such classes of stationary sequences there exists the upcrossings index $eta,$ $0leqetaleq1,$ which is directly related to the extremal index $heta,$ $0leqhetaleq1,$ for suitable high levels. In this paper we consider the problem of estimating the upcrossings index $eta$ for a class of stationary sequences satisfying a mild oscillation restriction. For the proposed estimator, properties such as consistency and asymptotic normality are studied. Finally, the performance of the estimator is assessed through simulation studies for autoregressive processes and case studies in the fields of environment and finance.

Full work available at URL: https://arxiv.org/abs/1204.1905

zbMATH Keywords

asymptotic normalityconsistencylocal dependence conditions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Non-Markovian processes: estimation (62M09)

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Cited In (2)

• Methods for estimating the upcrossings index: improvements and comparison
• The upcrossings index and the extremal index

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