Estimation of the extremal index using censored distributions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F20%3APU134713" target="_blank" >RIV/00216305:26110/20:PU134713 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s10687-020-00374-3" target="_blank" >https://link.springer.com/article/10.1007/s10687-020-00374-3</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10687-020-00374-3" target="_blank" >10.1007/s10687-020-00374-3</a>

Result language
angličtina
Original language name
Estimation of the extremal index using censored distributions
Original language description
The extremal index is an important parameter in the characterization of extreme values of a stationary sequence, since it measures short-range dependence at extreme values and governs clustering of extremes. This paper presents a novel approach to estimation of the extremal index based on artificial censoring of inter-exceedance times. The censored estimator based on the maximum likelihood method is derived together with its variance, which is estimated from the expected Fisher information measure. In order to evaluate performance of the proposed estimator, a simulation study is carried out for various stationary processes satisfying the local dependence condition $D^{(k)}(u_n)$. An application to daily maximum temperatures at Uccle, Belgium, is also presented.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/LO1408" target="_blank" >LO1408: AdMaS UP – Advanced Building Materials, Structures and Technologies</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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