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arXiv · 2011.04733

Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution

Axel Bücher·Tobias Jennessen
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Abstract

A measure of primal importance for capturing the serial dependence of a stationary time series at extreme levels is provided by the limiting cluster size distribution. New estimators based on a blocks declustering scheme are proposed and analyzed both theoretically and by means of a large-scale simulation study. A sliding blocks version of the estimators is shown to outperform a disjoint blocks version. In contrast to some competitors from the literature, the estimators only depend on one unknown parameter to be chosen by the statistician.

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Axel Bücher, Tobias Jennessen. 2020-11-09. Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution. https://arxiv.org/abs/2011.04733

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