A note on robust estimation of the extremal index

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.