- 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