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...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2018-02-01
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| Series: | Revstat Statistical Journal |
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| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/235 |
| _version_ | 1817998393393283072 |
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| author | Marta Ferreira |
| author_facet | Marta Ferreira |
| author_sort | Marta Ferreira |
| collection | DOAJ |
| description |
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 declustering parameter, inference also depends on a threshold. This choice is actually a crucial topic and is transversal to many other extremal parameters. In this paper we analyze a threshold-free heuristic procedure. We also make comparisons with other heuristic procedures already developed within the extremal index estimation. Our study is based on simulation. We illustrate with an application to environmental data.
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| first_indexed | 2024-04-14T02:52:48Z |
| format | Article |
| id | doaj.art-bd61ce5588044fdd9dd92a61d4fa9554 |
| institution | Directory Open Access Journal |
| issn | 1645-6726 2183-0371 |
| language | English |
| last_indexed | 2024-04-14T02:52:48Z |
| publishDate | 2018-02-01 |
| publisher | Instituto Nacional de Estatística | Statistics Portugal |
| record_format | Article |
| series | Revstat Statistical Journal |
| spelling | doaj.art-bd61ce5588044fdd9dd92a61d4fa95542022-12-22T02:16:14ZengInstituto Nacional de Estatística | Statistics PortugalRevstat Statistical Journal1645-67262183-03712018-02-0116110.57805/revstat.v16i1.235Heuristic Tools for the Estimation of The Extremal IndexMarta Ferreira 0University of Lisbon 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 declustering parameter, inference also depends on a threshold. This choice is actually a crucial topic and is transversal to many other extremal parameters. In this paper we analyze a threshold-free heuristic procedure. We also make comparisons with other heuristic procedures already developed within the extremal index estimation. Our study is based on simulation. We illustrate with an application to environmental data. https://revstat.ine.pt/index.php/REVSTAT/article/view/235extreme value theoryextremal index estimationheuristic methods |
| spellingShingle | Marta Ferreira Heuristic Tools for the Estimation of The Extremal Index Revstat Statistical Journal extreme value theory extremal index estimation heuristic methods |
| title | Heuristic Tools for the Estimation of The Extremal Index |
| title_full | Heuristic Tools for the Estimation of The Extremal Index |
| title_fullStr | Heuristic Tools for the Estimation of The Extremal Index |
| title_full_unstemmed | Heuristic Tools for the Estimation of The Extremal Index |
| title_short | Heuristic Tools for the Estimation of The Extremal Index |
| title_sort | heuristic tools for the estimation of the extremal index |
| topic | extreme value theory extremal index estimation heuristic methods |
| url | https://revstat.ine.pt/index.php/REVSTAT/article/view/235 |
| work_keys_str_mv | AT martaferreira heuristictoolsfortheestimationoftheextremalindex |