A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index

A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index

The extremal index (θ) is the key parameter for extending extreme value theory results from i.i.d. to stationary sequences. One important property of this parameter is that its inverse determines the degree of clustering in the extremes. This article introduces a novel interpretation of the extremal...

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Bibliographic Details
Main Author: Jose Olmo
Format: Article
Language:English
Published: MDPI AG 2015-08-01
Series:Econometrics
Subjects:
asymptotic theory
clustering of extremes
extremal index
extreme value theory
order statistics
Online Access:http://www.mdpi.com/2225-1146/3/3/633

Internet

http://www.mdpi.com/2225-1146/3/3/633

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