Sensitivity Assessment and Comparison of Maxima Methods in the Estimation of Extremal Index

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F17%3APU125887" target="_blank" >RIV/00216305:26110/17:PU125887 - isvavai.cz</a>
Result on the web
<a href="http://mitav.unob.cz/data/MITAV%202017%20Proceedings.pdf" target="_blank" >http://mitav.unob.cz/data/MITAV%202017%20Proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Sensitivity Assessment and Comparison of Maxima Methods in the Estimation of Extremal Index
Original language description
Extremal index is the primary measure of local dependence of extreme values and plays important role in extreme value estimation for stationary processes. The maxima estimators are often preferred in practical situations. These estimators, based on properties of the block maxima, are asymptotically characterized by the Generalized extreme value distribution. In contrast to other methods, the maxima estimators gain advantage in stability to the choice of auxiliary parameters. Still the main part of the maxima methods is selection of a proper approximation to the marginal distribution of the underlying process. Although the suitability of the approximation may significantly affect the estimation quality, to the effect of available approaches has not been paid a great interest in the literature. The aim of this contribution is the comparison of available sampling schemes and the assessment of sensitivity of existing maxima estimates of the extremal index.
Czech name
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Czech description
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Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MITAV 2017, Post-Conference Proceedings of Extended Versions of Selected Papers
ISBN
978-80-7582-026-6
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
110-120
Publisher name
University of Defence
Place of publication
Brno, Czech Republic
Event location
Brno
Event date
Jun 15, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000576896800012

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