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Title: A note on robust estimation of the extremal index
Author: Gomes, M. Ivette
Miranda, M. Cristina
Miranda, Manuela Souto de
Keywords: Dependent sequences
Monte-Carlo simulation
Robust semi-parametric estimation
Statistics of extremes
Issue Date: Dec-2020
Publisher: Springer
Abstract: Many examples in the most diverse fields of application show the need for statistical methods of analysis of extremes of dependent data. A crucial issue that appears when there is dependency is the reliable estimation of the extremal index (EI), a parameter related to the clustering of large events. The most popular EI-estimators, like the blocks’ EI-estimators, are very sensitive to anomalous cluster sizes and exhibit a high bias. The need for robust versions of such EI-estimators is the main topic under discussion in this paper.
Peer review: yes
DOI: 10.1007/978-3-030-57306-5_20
ISBN: 978-3-030-57305-8
Appears in Collections:ISCA-UA - Capítulo de livro
CIDMA - Capítulo de livro
PSG - Capítulo de livro

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