UCL logo

UCL Discovery

UCL home » Library Services » Electronic resources » UCL Discovery

Semiparametric estimation of the extremal index using block maxima

Northrop, PJ; (2012) Semiparametric estimation of the extremal index using block maxima. Department of Statistical Science, University College London

Full text not available from this repository.

Abstract

The extremal index θ , a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate θ semiparametrically, using the relationship between the distribution of block maxima and the marginal distribution of a process to define a semiparametric model. We show that these semiparametric estimators are simpler and substantially more effi cient than their parametric counterparts. We seek to improve e fficiency further using maxima over sliding blocks. An application to sea-surge heights combines inferences about θ with a standard extreme value analysis of block maxima to estimate marginal quantiles.

Type:Report
Title:Semiparametric estimation of the extremal index using block maxima
Publisher version:http://www.ucl.ac.uk/statistics/research/reports
Keywords:Extremal index, semiparametric estimation, extreme value theory, block maxima, sea-surge heights
UCL classification:UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science

Archive Staff Only: edit this record