Journal
ANNALS OF STATISTICS
Volume 37, Issue 1, Pages 271-310Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/07-AOS551
Keywords
Extreme values; exceedance point processes; limiting cluster size distribution; extremal index; strictly stationary sequences
Categories
Ask authors/readers for more resources
Any limiting point process for the time normalized exceedances of high levels by a stationary sequence is necessarily compound Poisson under appropriate long range dependence conditions. Typically exceedances appear in clusters. The underlying Poisson points represent the cluster positions and the multiplicities correspond to the cluster sizes. In the present paper we introduce estimators of the limiting Cluster size probabilities, which are constructed through a recursive algorithm. We derive estimators of the extremal index which plays a key role in determining the intensity of cluster positions. We study the asymptotic properties of the estimators and investigate their finite sample behavior on simulated data.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available