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Subsampling techniques and the Jackknife methodology in the estimation of the extremal index

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  • Gomes, M. Ivette
  • Hall, Andreia
  • Miranda, M. Cristina

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  • Gomes, M. Ivette & Hall, Andreia & Miranda, M. Cristina, 2008. "Subsampling techniques and the Jackknife methodology in the estimation of the extremal index," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2022-2041, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:4:p:2022-2041
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    References listed on IDEAS

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    1. M. Gomes & Fernanda Figueiredo, 2006. "Bias reduction in risk modelling: Semi-parametric quantile estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(2), pages 375-396, September.
    2. Alonso, Andres M. & Maharaj, Elizabeth A., 2006. "Comparison of time series using subsampling," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2589-2599, June.
    3. Gomes, M. Ivette & Pestana, Dinis, 2007. "A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 280-292, March.
    4. M. E. Robinson & J. A. Tawn, 2000. "Extremal analysis of processes sampled at different frequencies," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 117-135.
    5. de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G., 1989. "Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 213-224, August.
    6. M. Ivette Gomes & Cristina Miranda & Clara Viseu, 2007. "Reduced‐bias tail index estimation and the jackknife methodology," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 61(2), pages 243-270, May.
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    Cited by:

    1. J. Sebastião & A. Martins & H. Ferreira & L. Pereira, 2013. "Estimating the upcrossings index," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 549-579, November.

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