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arXiv · 1506.06831

An efficient semiparametric maxima estimator of the extremal index

Paul J. Northrop
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Abstract

The extremal index $\theta$, 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 $\theta$ 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 $\theta$ with a standard extreme value analysis of block maxima to estimate marginal quantiles.

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Paul J. Northrop. 2015-06-23. An efficient semiparametric maxima estimator of the extremal index. https://doi.org/10.1007/s10687-015-0221-5

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