Simulation Study of the Calibration Technique in the Extremal Index Estimation
Simulation Study of the Calibration Technique in the Extremal Index Estimation
复制标题
极值指标估计中标定技术的仿真研究
DOI：
10.1007/978-3-642-34904-1_40
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
M. Neves
中科院分区：
文献类型：
--
作者：
D. P. Gomes;J. Mexia;M. Neves
经典的极值方法首先是在假设基本过程是独立同分布的随机变量序列时推导出来的。然而，当观测是沿着时间和/或空间沿着进行时，独立性是不切实际的假设。在这种情况下出现的一个相关参数是极值指数θ，表征平稳序列极值的局部依赖程度。这个参数的大多数半参数估计显示出对阈值的强依赖性，随着阈值的减小，偏差增大，方差减小。基于校准方法的程序在这里被认为是一种控制估计偏差的方法。得到了极值指标的点估计和区间估计。已经进行了模拟研究，以说明该程序。
Classical extreme value methods were first derived when the underlying process is assumed to be a sequence of independent and identically distributed random variables. However, when observations are taken along the time and/or the space, the independence is an unrealistic assumption. A relevant parameter that arises in this situation is the extremal index,θ, characterizing the degree of local dependence in the extremes of a stationary series. Most of the semi-parametric estimators of this parameter show a strong dependence on the thresholdun, with an increasing bias and a decreasing variance as such a threshold decreases. A procedure based on the calibration methodology is here considered as a way of controlling the bias of an estimator. Point and interval estimates for the extremal index are obtained. A simulation study has been performed to illustrate the procedure.