A Comparison of Methods for Estimating the Extremal Index

By Miguel A. Ancona-Navarrete, Jonathan A. Tawn. 2000

103 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/1707924e1244e26c2eaa59caf4e814e155981436

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Citations in the corpus

Diagnostics for dependence within time series extremes (2003, methodology): “u,m/ as a threshold-based measure of extremal dependence have been studied previously by using different methods (Bortot and Tawn, 1998; Ancona-Navarrete and Tawn, 2000), and it was found that θ.”
A two-step framework for over-threshold modelling of environmental extremes (2014, background): “An attempt to cope at the same time with EVT and autocorrelated data is the introduction of the extremal index, (Leadbetter et al., 1983; Smith and Weissman, 1994; Embrechts et al., 1997; Ancona-Navarrete and Tawn, 2000; Coles, 2001; Beirlant et al., 2004).”
Statistics of Extremes (2004, background): “A comparative study is made by Ancona-Navarrete and Tawn (2000). The estimator of Gomes (1993) has the merit that it does not require the selection of a threshold, although it does require the selection of a block length to obtain a sample of maxima Mn. Threshold choice is a fundamental issue: the e”
Statistics of extremes in hydrology (2002, background): “, cðsÞ 1⁄4 c), the distribution of the maximum value over time of the areal-averaged process (say, averaged over region S with area DS) is likewise approximately GEV with the same common shape parameter cðSÞ 1⁄4 c but with location and scale parameters, lðSÞ and rðsÞ, that are not simply given by th”
Estimating return levels from serially dependent extremes (2012, methodology): “Other methods have been proposed (e.g. Ancona-Navarrete and Tawn, 2000; Northrop, 2005; Süveges, 2007—the work in this paper simply serves to illustrate the use of all threshold excesses in return level estimation.”
Extremal analysis of processes sampled at different frequencies (2000, unknown): “This generally produces good estimates of 0; see Smith and Weissman (1994) and Ancona and Tawn (1998) for comparisons with several different methods.”