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Title: Finite sample behaviour of the mixed moment estimator in dependent frameworks
Author: Gomes, M. Ivette
Miranda, M. Cristina
Keywords: Statistics of extremes
Dependent models
Mixed moment estimator
Monte Carlo Simulation
Issue Date: Jun-2009
Publisher: IEEE
Abstract: In this paper, via Monte Carlotechniques and for dependent structures, likethe max-autoregressive processes and them-dependent processes, we explore the behaviorof a recently introduced extreme value indexestimator, the mixed moment estimator. Thedependent stationary sequences consideredprovide a wide spectrum of dependency, withan extremal index ranging from a value closeto one(as happens in identicallly distributedsettings, where exceedances of high thresholdsappear isolated)to any value smaller thanone, a situation in which exceedances ofhigh levels appear in clusters of a mean sizeapproximately equal to the reciprocal of thatextremal index.
Peer review: yes
DOI: 10.1109/ITI.2009.5196086
ISSN: 1330-1012
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Appears in Collections:ISCA-UA - Artigos

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