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Authors
Advisor(s)
Abstract(s)
When extending the analysis of the limiting behaviour of the extreme values from independent and identically distributed
sequences to stationary sequences a key parameter appears, the extremal index θ, whose accurate estimation is not easy and is not
completely solved. Here we focus on the estimation of θ using blocks estimators, that can be constructed by using disjoint or sliding
blocks. Both blocks construction require the choice of a threshold and a block length. The main objective of this work is to revisit
another block estimation procedure that only depends on the block length, although some conditions on the underlying process
need to be verified. An application will be presented for illustrating the proposed procedure
Description
Keywords
Pedagogical Context
Citation
AIP Conference Proceedings 2425, 320004 (2022)
Publisher
AIP