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ArticleOriginal scientific text

Title

Estimating the extremal index through the tail dependence concept

Authors 1

Affiliations

  1. Center of Mathematics, University of Minho, Portugal

Abstract

The extremal index Θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.

Keywords

ENG
extreme value theory, extremal index, tail dependence coefficient

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Discussiones Mathematicae Probability and Statistics
2015/35/1-2
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Pages:
61-74
Main language of publication
English
Received
2015-04-01
Published
2015

DOI: 10.7151/dmps.1173

Exact and natural sciences