Heuristic Tools for the Estimation of The Extremal Index
Clustering of exceedances of a critical level is a phenomenon that concerns risk managers in many areas. The extremal index θ measures the propensity of the large observations in a dataset to cluster. Thus the estimation of θ is an important issue recurrently addressed in literature. Besides a decl...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2018-02-01
|
| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/235 |