Authors: | Berghaus, Betina Bücher, Axel |
Title: | Weak convergence of a pseudo maximum likelihood estimator for the extremal index |
Language (ISO): | en |
Abstract: | The extremes of a stationary time series typically occur in clusters. A primary measure for this phenomenon is the extremal index, representing the reciprocal of the expected cluster size. Both a disjoint and a sliding blocks estimator for the extremal index are analyzed in detail. In contrast to many competitors, the estimators only depend on the choice of one parameter sequence. We derive an asymptotic expansion, prove asymptotic normality and show consistency of an estimator for the asymptotic variance. Explicit calculations in certain models and a finite-sample Monte Carlo simulation study reveal that the sliding blocks estimator is outperforming other blocks estimators, and that it is competitive to runs- and inter-exceedance estimators in various models. The methods are applied to a variety of financial time series. |
Subject Headings: | clusters of extremes block maxima mixing coefficients stationary time series extremal index |
URI: | http://hdl.handle.net/2003/35214 http://dx.doi.org/10.17877/DE290R-17258 |
Issue Date: | 2016 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_4716_SFB823_Berghaus_Bücher.pdf | DNB | 624.18 kB | Adobe PDF | View/Open |
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