caa a22 4500 605463883 CHVBK 20210128100255.0 cr unu---uuuuu 210128e20151201xx s 000 0 eng 10.1007/s10687-015-0221-5 doi (NATIONALLICENCE)springer-10.1007/s10687-015-0221-5 Northrop Paul Department of Statistical Science, University College London, Gower Street, WC1E 6BT, London, UK aut An efficient semiparametric maxima estimator of the extremal index [Elektronische Daten] [Paul Northrop] 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. Springer Science+Business Media New York, 2015 Block maxima nationallicence Extremal index nationallicence Extreme value theory nationallicence Sea-surge heights nationallicence Semiparametric estimation nationallicence Extremes Springer US; http://www.springer-ny.com 18/4(2015-12-01), 585-603 1386-1999 18:4<585 2015 18 10687 https://doi.org/10.1007/s10687-015-0221-5 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10687-015-0221-5 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Northrop Paul Department of Statistical Science, University College London, Gower Street, WC1E 6BT, London, UK aut NATIONALLICENCE 773 0- Extremes Springer US; http://www.springer-ny.com 18/4(2015-12-01), 585-603 1386-1999 18:4<585 2015 18 10687