Use of censored distribution in the intervals estimator of the extremal index

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F18%3APU130344" target="_blank" >RIV/00216305:26110/18:PU130344 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.cmstatistics.org/CMStatistics2018/docs/BoACFECMStatistics2018.pdf?20181120232255" target="_blank" >http://www.cmstatistics.org/CMStatistics2018/docs/BoACFECMStatistics2018.pdf?20181120232255</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Use of censored distribution in the intervals estimator of the extremal index

Popis výsledku v původním jazyce

From the theory it follows that the local dependence in a stationary series causes clustering of extreme values. Hence, the inference for extremes typically requires proper identification of clusters of high threshold exceedances and estimation of the extremal index which is the primary measure of the local dependence. An intervals estimator of the extremal index based on the distribution of interexceedances times has been previously introduced. Direct application of the limiting distribution to interexceedances times of a stationary series may cause the intervals estimator to be biased toward independence. Several modifications have been proposed including the $K$-gaps likelihood estimator, where $K$ determines the intra- and intercluster spacings. The aim is to introduce a new estimator of the extremal index based on censored distributions that can be viewed as an alternative to the $K$-gaps estimator without using fixed replacements of the intracluster spacings. Properties of the estimator are stud

Název v anglickém jazyce

Use of censored distribution in the intervals estimator of the extremal index

Popis výsledku anglicky

From the theory it follows that the local dependence in a stationary series causes clustering of extreme values. Hence, the inference for extremes typically requires proper identification of clusters of high threshold exceedances and estimation of the extremal index which is the primary measure of the local dependence. An intervals estimator of the extremal index based on the distribution of interexceedances times has been previously introduced. Direct application of the limiting distribution to interexceedances times of a stationary series may cause the intervals estimator to be biased toward independence. Several modifications have been proposed including the $K$-gaps likelihood estimator, where $K$ determines the intra- and intercluster spacings. The aim is to introduce a new estimator of the extremal index based on censored distributions that can be viewed as an alternative to the $K$-gaps estimator without using fixed replacements of the intracluster spacings. Properties of the estimator are stud

Druh

O - Ostatní výsledky

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů