Autor(en): Berghaus, Betina
Bücher, Axel
Titel: Weak convergence of a pseudo maximum likelihood estimator for the extremal index
Sprache (ISO): en
Zusammenfassung: 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.
Schlagwörter: 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
Erscheinungsdatum: 2016
Enthalten in den Sammlungen:Sonderforschungsbereich (SFB) 823

Dateien zu dieser Ressource:
Datei Beschreibung GrößeFormat 
DP_4716_SFB823_Berghaus_Bücher.pdfDNB624.18 kBAdobe PDFÖffnen/Anzeigen


Diese Ressource ist urheberrechtlich geschützt.



Diese Ressource ist urheberrechtlich geschützt. rightsstatements.org