EXTREMAL INDEX ESTIMATION FOR A WEAKLY DEPENDENT STATIONARY SEQUENCE

Authors
HSING T
Citation
T. Hsing, EXTREMAL INDEX ESTIMATION FOR A WEAKLY DEPENDENT STATIONARY SEQUENCE, Annals of statistics, 21(4), 1993, pp. 2043-2071
Citations number
36
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
21
Issue
4
Year of publication
1993
Pages
2043 - 2071
Database
ISI
SICI code
0090-5364(1993)21:4<2043:EIEFAW>2.0.ZU;2-O
Abstract
Under stationarity and weak dependence, the statistical significance a nd the estimation of the extremal index are considered. It is shown th at the distribution of the sample maximum can be uniformly approximate d given the extremal index and the marginal distribution as the sample size increases. An adaptive procedure is proposed for estimating the extremal index. The procedure is shown to be asymptotically optimal in a class of estimators.