Publication
Estimating the extremal index through local dependence
| dc.contributor.author | Ferreira, Helena | |
| dc.contributor.author | Ferreira, Marta | |
| dc.date.accessioned | 2020-01-09T15:01:41Z | |
| dc.date.available | 2020-01-09T15:01:41Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition D(k)(un). We compare a process satisfying one of this hierarchy of increasingly weaker local mixing conditions with a process of cycles satisfying the D(2)(un) condition. We also analyze local dependence within moving maxima processes and derive a necessary and su cient condition for D(k)(un). In order to evaluate the performance of the proposed estimators, we apply an empirical diagnostic for local dependence conditions, we conduct a simulation study and compare with existing methods. An application to a nancial time series is also presented. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.doi | 10.1214/16-AIHP815 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.6/8169 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.subject | Extreme value theory | pt_PT |
| dc.subject | Stationary sequences | pt_PT |
| dc.subject | Dependence conditions | pt_PT |
| dc.subject | Extremal indexion | pt_PT |
| dc.title | Estimating the extremal index through local dependence | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/5876/UID%2FMAT%2F00013%2F2013/PT | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/5876/UID%2FMulti%2F04621%2F2013/PT | |
| oaire.citation.endPage | 605 | pt_PT |
| oaire.citation.issue | 2 | pt_PT |
| oaire.citation.startPage | 587 | pt_PT |
| oaire.citation.volume | 54 | pt_PT |
| oaire.fundingStream | 5876 | |
| oaire.fundingStream | 5876 | |
| person.familyName | Ferreira | |
| person.givenName | Helena | |
| person.identifier.ciencia-id | 7C10-8C72-313B | |
| person.identifier.orcid | 0000-0001-9392-7259 | |
| person.identifier.scopus-author-id | 7101834831 | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |
| relation.isAuthorOfPublication | 0df8a302-97a1-4166-aba4-2a399c8ad078 | |
| relation.isAuthorOfPublication.latestForDiscovery | 0df8a302-97a1-4166-aba4-2a399c8ad078 | |
| relation.isProjectOfPublication | 5e38ebf2-96f8-4474-ad3c-aae1fddd9716 | |
| relation.isProjectOfPublication | dcd3e896-6913-463f-9d4e-2a144e4047cb | |
| relation.isProjectOfPublication.latestForDiscovery | 5e38ebf2-96f8-4474-ad3c-aae1fddd9716 |