Semiparametric estimation of the extremal index using block maxima∗
نویسنده
چکیده
The extremal index θ, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate θ semiparametrically, using the relationship between the distribution of block maxima and the marginal distribution of a process to define a semiparametric model. We show that these semiparametric estimators are simpler and substantially more efficient than their parametric counterparts. We seek to improve efficiency further using maxima over sliding blocks. An application to sea-surge heights combines inferences about θ with a standard extreme value analysis of block maxima to estimate marginal quantiles.
منابع مشابه
An efficient semiparametric maxima estimator of the extremal index
Abstract The extremal index θ , a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate θ semiparametrically, using the relationship between the distribution of block maxima and the marginal distribution of a process to define a semiparametric model. We show that these semiparametric estimators are simpl...
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