The stopped clock model
The extreme value theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological advances allowing an increasingly larger and more efficient data col...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2022-05-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2022-0101 |
| _version_ | 1797998388720959488 |
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| author | Ferreira Helena Ferreira Marta |
| author_facet | Ferreira Helena Ferreira Marta |
| author_sort | Ferreira Helena |
| collection | DOAJ |
| description | The extreme value theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological advances allowing an increasingly larger and more efficient data collection, there are sometimes failures in the records, which causes difficulties in statistical inference, especially in the tail where data are scarcer. In this article, we present a model with a simple and intuitive failures scheme, where each record failure is replaced by the last record available. We will study its extremal behavior with regard to local dependence and high values clustering, as well as the temporal dependence on the tail. |
| first_indexed | 2024-04-11T10:48:00Z |
| format | Article |
| id | doaj.art-b89fbaece64d4a9c9ca2308745c37ce4 |
| institution | Directory Open Access Journal |
| issn | 2300-2298 |
| language | English |
| last_indexed | 2024-04-11T10:48:00Z |
| publishDate | 2022-05-01 |
| publisher | De Gruyter |
| record_format | Article |
| series | Dependence Modeling |
| spelling | doaj.art-b89fbaece64d4a9c9ca2308745c37ce42022-12-22T04:28:59ZengDe GruyterDependence Modeling2300-22982022-05-01101485710.1515/demo-2022-0101The stopped clock modelFerreira Helena0Ferreira Marta1Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Departamento de Matemática, Avenida Marquês d’Avila e Bolama, 6200-001 Covilhã, PortugalCentro de Matemática e Departamento de Matemática, Universidade do Minho, CEMAT, Instituto Superior Técnico, Universidade de Lisboa, Lisboa, PortugalThe extreme value theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological advances allowing an increasingly larger and more efficient data collection, there are sometimes failures in the records, which causes difficulties in statistical inference, especially in the tail where data are scarcer. In this article, we present a model with a simple and intuitive failures scheme, where each record failure is replaced by the last record available. We will study its extremal behavior with regard to local dependence and high values clustering, as well as the temporal dependence on the tail.https://doi.org/10.1515/demo-2022-0101extreme valuesstationary sequencesfailures modelextremal indextail dependence coefficient60g70 |
| spellingShingle | Ferreira Helena Ferreira Marta The stopped clock model Dependence Modeling extreme values stationary sequences failures model extremal index tail dependence coefficient 60g70 |
| title | The stopped clock model |
| title_full | The stopped clock model |
| title_fullStr | The stopped clock model |
| title_full_unstemmed | The stopped clock model |
| title_short | The stopped clock model |
| title_sort | stopped clock model |
| topic | extreme values stationary sequences failures model extremal index tail dependence coefficient 60g70 |
| url | https://doi.org/10.1515/demo-2022-0101 |
| work_keys_str_mv | AT ferreirahelena thestoppedclockmodel AT ferreiramarta thestoppedclockmodel AT ferreirahelena stoppedclockmodel AT ferreiramarta stoppedclockmodel |