Estimating the multivariate extremal index function

Details Estimating the multivariate extremal index function Estimating the multivariate extremal index function

2008-10-07

arxiv.org/abs/0810.1164v2

Bernoulli 2008, Vol. 14, No. 4, 1027-1064

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Published in at http://dx.doi.org/10.3150/08-BEJ145 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/08-BEJ145

The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures the degree of clustering of extremes in the multivariate process. In this paper, we construct nonparametric estimators of this function and prove their asymptotic normality under long-range dependence and moment conditions. The results are illustrated by means of a simulation study.

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