An efficient semiparametric maxima estimator of the extremal index
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| 001 | 605463883 | ||
| 003 | CHVBK | ||
| 005 | 20210128100255.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 210128e20151201xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s10687-015-0221-5 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-015-0221-5 | ||
| 100 | 1 | |a Northrop |D Paul |u Department of Statistical Science, University College London, Gower Street, WC1E 6BT, London, UK |4 aut | |
| 245 | 1 | 3 | |a An efficient semiparametric maxima estimator of the extremal index |h [Elektronische Daten] |c [Paul Northrop] |
| 520 | 3 | |a The extremal index θ, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate θ semiparametrically, using the relationship between the distribution of block maxima and the marginal distribution of a process to define a semiparametric model. We show that these semiparametric estimators are simpler and substantially more efficient than their parametric counterparts. We seek to improve efficiency further using maxima over sliding blocks. A simulation study shows that the semiparametric estimators are competitive with the leading estimators. An application to sea-surge heights combines inferences about θ with a standard extreme value analysis of block maxima to estimate marginal quantiles. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Block maxima |2 nationallicence | |
| 690 | 7 | |a Extremal index |2 nationallicence | |
| 690 | 7 | |a Extreme value theory |2 nationallicence | |
| 690 | 7 | |a Sea-surge heights |2 nationallicence | |
| 690 | 7 | |a Semiparametric estimation |2 nationallicence | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 585-603 |x 1386-1999 |q 18:4<585 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-015-0221-5 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-015-0221-5 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Northrop |D Paul |u Department of Statistical Science, University College London, Gower Street, WC1E 6BT, London, UK |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 585-603 |x 1386-1999 |q 18:4<585 |1 2015 |2 18 |o 10687 | ||