Improved interexceedance-times-based estimator of the extremal index using truncated distribution
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F22%3APU144888" target="_blank" >RIV/00216305:26110/22:PU144888 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s10687-022-00444-8" target="_blank" >https://link.springer.com/article/10.1007/s10687-022-00444-8</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10687-022-00444-8" target="_blank" >10.1007/s10687-022-00444-8</a>
Alternative languages
Result language
angličtina
Original language name
Improved interexceedance-times-based estimator of the extremal index using truncated distribution
Original language description
The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. This paper presents a novel approach to estimation of the extremal index based on truncation of interexceedance times. The truncated estimator based on the maximum likelihood method is derived together with its first-order bias. The estimator is further improved using penultimate approximation to the limiting mixture distribution. In order to assess the 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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Classification
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
Result continuities
Project
<a href="/en/project/TL05000072" target="_blank" >TL05000072: Estimation of capitalization rate (cap rate) for specific real estates according to an analogous investment based on financial markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
EXTREMES
ISSN
1386-1999
e-ISSN
1572-915X
Volume of the periodical
25
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
26
Pages from-to
695-720
UT code for WoS article
000815426600001
EID of the result in the Scopus database
2-s2.0-85132792849