Temat: extreme value theory - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Estimating the extremal index through the tail dependence concept
Autorzy:: Ferreira, Marta
Powiązania:: https://bibliotekanauki.pl/articles/729770.pdf
Data publikacji:: 2015
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: extreme value theory
extremal index
tail dependence coefficient
Opis:: 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.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2015, 35, 1-2; 61-74
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: On the tail index estimation of an autoregressive Pareto process
Autorzy:: Ferreira, Marta
Powiązania:: https://bibliotekanauki.pl/articles/729838.pdf
Data publikacji:: 2013
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: extreme value theory
autoregressive processes
tail index estimation
Opis:: In this paper we consider an autoregressive Pareto process which can be used as an alternative to heavy tailed MARMA. We focus on the tail behavior and prove that the tail empirical quantile function can be approximated by a Gaussian process. This result allows to derive a class of consistent and asymptotically normal estimators for the shape parameter. We will see through simulation that the usual estimation procedure based on an i.i.d. setting may fall short of the desired precision.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2013, 33, 1-2; 65-77
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Extremal (in)dependence of a maximum autoregressive process
Autorzy:: Ferreira, Marta
Powiązania:: https://bibliotekanauki.pl/articles/729856.pdf
Data publikacji:: 2013
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: extreme value theory
autoregressive processes
tail dependence
asymptotic tail independence
Opis:: Maximum autoregressive processes like MARMA (Davis and Resnick, [5] 1989) or power MARMA (Ferreira and Canto e Castro, [12] 2008) have singular joint distributions, an unrealistic feature in most applications. To overcome this pitfall, absolute continuous versions were presented in Alpuim and Athayde [2] (1990) and Ferreira and Canto e Castro [14] (2010b), respectively. We consider an extended version of absolute continuous maximum autoregressive processes that accommodates both asymptotic tail dependence and independence. A full characterization of the bivariate lag-m tail dependence is presented. This will be useful in an adjustment procedure of the model to real data. An illustration with financial data is presented at the end.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2013, 33, 1-2; 47-64
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

Artykuł

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