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