Statistical inference on $D^{(d)}(u_n)$ condition and estimation of the Extremal Index

Abstract

Clustering of extreme events can have profound and detrimental societal consequences. The extremal index, a number in the unit interval, is a key parameter in modelling the clustering of extremes. The study of extremal index often assumes a local dependence condition known as the $D^{(d)}(u_n)$ condition. In this paper, we develop a hypothesis test for $D^{(d)}(u_n)$ condition based on asymptotic results. We develop an estimator for the extremal index by leveraging the inference procedure based on the $D^{(d)}(u_n)$ condition, and we establish the asymptotic normality of this estimator. The finite sample performances of the hypothesis test and the estimation are examined in a simulation study, where we consider both models that satisfies the $D^{(d)}(u_n)$ condition and models that violate this condition. In a simple case study, our statistical procedure shows that daily temperature in summer shares a common clustering structure of extreme values based on the data observed in three weather stations in the Netherlands, Belgium and Spain.