Statistical inference on the local dependence condition of extreme values in a stationary sequence
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F26%3A0197986" target="_blank" >RIV/00216305:26110/26:0197986 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s10687-025-00513-8" target="_blank" >https://link.springer.com/article/10.1007/s10687-025-00513-8</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10687-025-00513-8" target="_blank" >10.1007/s10687-025-00513-8</a>
Alternative languages
Result language
angličtina
Original language name
Statistical inference on the local dependence condition of extreme values in a stationary sequence
Original language description
The extremal index is an important characteristic measuring dependence of extreme values in a stationary series. Several new estimators that are mostly based on interexceedance times within the Peaks-over-Threshold model have been recently published. Nevertheless, in many cases these estimators rely on suitable choice of auxiliary parameters and/or are derived under assumptions that are related to validity of the local dependence condition $D^{(k)}(u_n)$. Although the determination of the correct order $k$ in the $D^{(k)}(u_n)$ condition can have major effect on the extremal index estimates, there are not many reliable methods available for this task. In this paper, we present various approaches to assessing validity of the $D^{(k)}(u_n)$ condition including a graphical diagnostics and propose several statistical tests. A simulation study is carried out to determine performance of the statistical tests, particularly the type I and type II errors.
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
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
—
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2025
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
28
Issue of the periodical within the volume
3
Country of publishing house
US - UNITED STATES
Number of pages
22
Pages from-to
557-578
UT code for WoS article
001493340900001
EID of the result in the Scopus database
2-s2.0-105005803731