Estimating the extremal index through the tail dependence concept
Ferreira, Marta
Discussiones Mathematicae Probability and Statistics, 35(1-2) (2015), 61–74
http://dx.doi.org/10.7151/dmps.1173
The extremal index is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.
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