Ferreira, HelenaFerreira, Marta2020-01-092020-01-092018http://hdl.handle.net/10400.6/8169The 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.engExtreme value theoryStationary sequencesDependence conditionsExtremal indexionjournal article10.1214/16-AIHP815