Publicação

Methods for estimating the upcrossings index: improvements and comparison

Ver documento

Detalhes bibliográficos
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

Registos relacionados

Registos relacionados