Estimating the parameters of rare events
Abstract
In this paper the estimation of certain parameters of the extreme order statistics of stationary observations is considered in a general framework. These parameters are resulted from dependence, and hence their inference is substantially different from similar considerations in the i.i.d. context. Variants of estimators that are functionals of the empirical 'cluster size' distribution are proposed, and such properties as consistency and asymptotic normality are studied. Special emphasis is given to estimating the extremal index.Download Info
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Bibliographic Info
Article provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 37 (1991)
Issue (Month): 1 (February)
Pages: 117-139
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Olmo, José, .
"Testing the existence of clustering in the extreme values,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/338, Universidad Carlos III de Madrid.
- Jose Olmo, 2005. "Testing The Existence Of Clustering In The Extreme Values," Economics Working Papers we051809, Universidad Carlos III, Departamento de EconomÃa.
- Jondeau, Eric & Rockinger, Michael, 2003.
"Testing for differences in the tails of stock-market returns,"
Journal of Empirical Finance,
Elsevier, vol. 10(5), pages 559-581, December.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris.
- Olmo, J., 2006. "A new family of estimators for the extremal index," Working Papers 06/01, Department of Economics, City University London.
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