Estimating the parameters of rare events
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 37 (1991)
Issue (Month): 1 (February)
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"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 Economía.
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- 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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