Publicação
Methods for estimating the upcrossings index: improvements and comparison
| Resumo: | The upcrossings index 0≤η≤1, as a measure of the degree of local dependence in the upcrossings of a high level by a stationary process, plays, together with the extremal index θ, an important role in extreme events modelling. For stationary processes, verifying a long range dependence condition, upcrossings of high thresholds in different blocks can be assumed asymptotically independent and therefore blocks estimators for the upcrossings index can be easily constructed using disjoint blocks. In this paper we focus on the estimation of the upcrossings index via the blocks method and properties such as consistency and asymptotic normality are studied. Besides this new estimation approach for this parameter, we also enlarge its family of runs estimators and improve estimation within this class by providing an empirical way of checking local dependence conditions that control the clustering of upcrossings. We compare the performance of a range of different estimators for η and illustrate the methods using simulated data and financial data. |
|---|---|
| Autores principais: | Martins, Ana Paula |
| Outros Autores: | Sebastião, João Renato |
| Assunto: | Upcrossings index Blocks estimators Runs estimators Dependence conditions Consistency and asymptotic normality |
| Ano: | 2017 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Instituto Politécnico de Castelo Branco |
| Idioma: | inglês |
| Origem: | Repositório Científico do Instituto Politécnico de Castelo Branco |
| _version_ | 1868350569030090752 |
|---|---|
| author | Martins, Ana Paula |
| author2 | Sebastião, João Renato |
| author2_role | author |
| author_facet | Martins, Ana Paula Sebastião, João Renato |
| author_role | author |
| contributor_name_str_mv | Repositório Científico do Instituto Politécnico de Castelo Branco |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Martins, Ana Paula\",\"Person.identifier.orcid\":\"0000-0002-3908-821X\"},{\"Person.name\":\"Sebastião, João Renato\",\"Person.identifier.orcid\":\"0000-0003-4175-010X\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Repositório Científico do Instituto Politécnico de Castelo Branco |
| datacite.creators.creator.creatorName.fl_str_mv | Martins, Ana Paula Sebastião, João Renato |
| datacite.date.Accepted.fl_str_mv | 2017-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2019-10-11T13:40:32Z |
| datacite.date.embargoed.fl_str_mv | 2019-10-11T13:40:32Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Upcrossings index Blocks estimators Runs estimators Dependence conditions Consistency and asymptotic normality |
| datacite.titles.title.fl_str_mv | Methods for estimating the upcrossings index: improvements and comparison |
| dc.contributor.none.fl_str_mv | Repositório Científico do Instituto Politécnico de Castelo Branco |
| dc.creator.none.fl_str_mv | Martins, Ana Paula Sebastião, João Renato |
| dc.date.Accepted.fl_str_mv | 2017-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2019-10-11T13:40:32Z |
| dc.date.embargoed.fl_str_mv | 2019-10-11T13:40:32Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.11/6700 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.cclincense.fl_str_mv | http://creativecommons.org/licenses/by-nc/4.0/ |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Upcrossings index Blocks estimators Runs estimators Dependence conditions Consistency and asymptotic normality |
| dc.title.fl_str_mv | Methods for estimating the upcrossings index: improvements and comparison |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | The upcrossings index 0≤η≤1, as a measure of the degree of local dependence in the upcrossings of a high level by a stationary process, plays, together with the extremal index θ, an important role in extreme events modelling. For stationary processes, verifying a long range dependence condition, upcrossings of high thresholds in different blocks can be assumed asymptotically independent and therefore blocks estimators for the upcrossings index can be easily constructed using disjoint blocks. In this paper we focus on the estimation of the upcrossings index via the blocks method and properties such as consistency and asymptotic normality are studied. Besides this new estimation approach for this parameter, we also enlarge its family of runs estimators and improve estimation within this class by providing an empirical way of checking local dependence conditions that control the clustering of upcrossings. We compare the performance of a range of different estimators for η and illustrate the methods using simulated data and financial data. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | article |
| fulltext.url.fl_str_mv | https://repositorio.ipcb.pt/bitstreams/e37675bc-6fd1-4be6-83e4-7a85b6ac2ac8/download |
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| identifier.url.fl_str_mv | http://hdl.handle.net/10400.11/6700 |
| instacron_str | ipcb |
| institution | Instituto Politécnico de Castelo Branco |
| instname_str | Instituto Politécnico de Castelo Branco |
| language | eng |
| network_acronym_str | ripcb |
| network_name_str | Repositório Científico do Instituto Politécnico de Castelo Branco |
| oai_identifier_str | oai:repositorio.ipcb.pt:10400.11/6700 |
| organization_str_mv | urn:organizationAcronym:ipcb |
| person_str_mv | Martins, Ana Paula Martins, Ana Paula https://www.ciencia-id.pt/C51F-68CB-1DE2 C51F-68CB-1DE2 http://orcid.org/0000-0002-3908-821X 0000-0002-3908-821X Sebastião, João Renato Sebastião, João Renato https://www.ciencia-id.pt/1D19-51EE-EE14 1D19-51EE-EE14 http://orcid.org/0000-0003-4175-010X 0000-0003-4175-010X |
| publishDate | 2017 |
| reponame_str | Repositório Científico do Instituto Politécnico de Castelo Branco |
| repository_id_str | urn:repositoryAcronym:ripcb |
| service_str_mv | urn:repositoryAcronym:ripcb |
| spelling | engpt_PTThe upcrossings index 0≤η≤1, as a measure of the degree of local dependence in the upcrossings of a high level by a stationary process, plays, together with the extremal index θ, an important role in extreme events modelling. For stationary processes, verifying a long range dependence condition, upcrossings of high thresholds in different blocks can be assumed asymptotically independent and therefore blocks estimators for the upcrossings index can be easily constructed using disjoint blocks. In this paper we focus on the estimation of the upcrossings index via the blocks method and properties such as consistency and asymptotic normality are studied. Besides this new estimation approach for this parameter, we also enlarge its family of runs estimators and improve estimation within this class by providing an empirical way of checking local dependence conditions that control the clustering of upcrossings. We compare the performance of a range of different estimators for η and illustrate the methods using simulated data and financial data.application/pdfpt_PTMethods for estimating the upcrossings index: improvements and comparisonPersonalMartins, Ana PaulaDSpacehttp://dspace.org/items/b69fef41-b7b3-4dca-ab38-2d75579146a4DSpacehttp://dspace.org/items/b69fef41-b7b3-4dca-ab38-2d75579146a4MartinsAna PaulaCiência IDhttps://www.ciencia-id.ptC51F-68CB-1DE2ORCIDhttp://orcid.org0000-0002-3908-821XResearcher IDhttps://www.researcherid.comN-9824-2013Scopus Author IDhttps://www.scopus.com8585872500Scopus Author IDhttps://www.scopus.com56362393000PersonalSebastião, João RenatoDSpacehttp://dspace.org/items/6f73697a-76e0-419b-b628-6641c1297e8aDSpacehttp://dspace.org/items/6f73697a-76e0-419b-b628-6641c1297e8aSebastiãoJoão RenatoCiência IDhttps://www.ciencia-id.pt1D19-51EE-EE14ORCIDhttp://orcid.org0000-0003-4175-010XScopus Author IDhttps://www.scopus.com35213824400HostingInstitutionOrganizationalRepositório Científico do Instituto Politécnico de Castelo Brancoe-mailmailto:repositorio@ipcb.ptrepositorio@ipcb.ptDOIIsPartOf10.1007/s00362-017-0876-x2019-10-11T13:40:32Z20172017-01-01T00:00:00ZHandlehttp://hdl.handle.net/10400.11/6700http://purl.org/coar/access_right/c_abf2open accessUpcrossings indexBlocks estimatorsRuns estimatorsDependence conditionsConsistency and asymptotic normality722500 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal article2017http://creativecommons.org/licenses/by-nc/4.0/http://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ipcb.pt/bitstreams/e37675bc-6fd1-4be6-83e4-7a85b6ac2ac8/downloadStatistical Papers60413171347 |
| spellingShingle | Methods for estimating the upcrossings index: improvements and comparison Martins, Ana Paula Upcrossings index Blocks estimators Runs estimators Dependence conditions Consistency and asymptotic normality |
| status | SINGLETON |
| subject.fl_str_mv | Upcrossings index Blocks estimators Runs estimators Dependence conditions Consistency and asymptotic normality |
| title | Methods for estimating the upcrossings index: improvements and comparison |
| title_full | Methods for estimating the upcrossings index: improvements and comparison |
| title_fullStr | Methods for estimating the upcrossings index: improvements and comparison |
| title_full_unstemmed | Methods for estimating the upcrossings index: improvements and comparison |
| title_short | Methods for estimating the upcrossings index: improvements and comparison |
| title_sort | Methods for estimating the upcrossings index: improvements and comparison |
| topic | Upcrossings index Blocks estimators Runs estimators Dependence conditions Consistency and asymptotic normality |
| topic_facet | Upcrossings index Blocks estimators Runs estimators Dependence conditions Consistency and asymptotic normality |
| url | http://hdl.handle.net/10400.11/6700 |
| visible | 1 |