Statistical inference on the local dependence condition of extreme values in a stationary sequence

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Statistical inference on the local dependence condition of extreme values in a stationary sequence

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Statistical inference on the local dependence condition of extreme values in a stationary sequence

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2025

Kód důvěrnosti údajů

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

Název periodika

Extremes

ISSN

1386-1999

e-ISSN

1572-915X

Svazek periodika

28

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

22

Strana od-do

557-578

Kód UT WoS článku

001493340900001

EID výsledku v databázi Scopus

2-s2.0-105005803731