266 research outputs found
Estimating the tail index: another algorithmic method
The tail index is a determinant parameter within extreme value theory. Under a semiparametric approach, one has often to choose the number of the largest order statistics to include in estimates. This is a hard task since it is not possible to know for sure where the tail of data really begins. This crucial topic has been largely addressed in literature and several methods were developed.
In this paper we analyze, through simulation, a heuristic method and compare it with two very popular
methodologies. It will be seen that the new method can be a good alternative.Research Centre of Mathematics of the University of Minho with the Portuguese Funds from the ”Fundação para a Ciência e a Tecnologia”, through the Project PEstOE/ MAT/UI0013/2014
Analysis of estimation methods for the extremal index
Many datasets present time-dependent variation and short-term clustering
within extreme values. The extremal index is a primary measure to evaluate
clustering of high values in a stationary sequence. Estimation procedures
are based on the choice of a threshold and/or a declustering parameter or
a block size. Here we revise several different methods and compare them
through simulation. In particular, we will see that a recent declustering
methodology may be useful for the popular runs estimator and for a new
estimator that works under the validation of a local dependence condition.
An application to real data is also presented.Fundação para a Ciência e Tecnologia (FCT)info:eu-repo/semantics/publishedVersio
A study of exponential-type tails applied to Birnbaum-Saunders models
Birnbaum-Saunders distributions have increasingly been used in environmental sciences
applications. A major concern is the adjustment of extreme quantiles. Environmental
data have often tails in the Gumbel domain which corresponds to a null tail index
and does not allow us to distinguish the different tail weights that might exist between
distributions within this domain. Exponential-tail distributions form an important subgroup
with the peculiarity of including a parameter that specifies the “penultimate”
tail behavior. In particular, we analyze the penultimate tail behavior of Birnbaum-
Saunders distributions. We find examples with“heavier” tails than the classical one that
can better accommodate environmental data highly concentrated on the right tail. This
is illustrated with an application.Este trabalho é financiado por Fundos FEDER através do Programa
Operacional Factores de Competitividade - COMPETE e por Fundos
Nacionais através da FCT - Fundação para a Ciência e a Tecnologia no
âmbito do projecto PEst-C/MAT/UI0013/2011
Heuristic tools for the estimation of the extremal index: a comparison of methods
Clustering of exceedances of a critical level is a phenomenon that concerns risk managers
in many areas. The extremal index θ measures the propensity of the large
observations in a dataset to cluster. Thus the estimation of θ is an important issue
recurrently addressed in literature. Besides a declustering parameter, inference also
depends on a threshold. This choice is actually a crucial topic and is transversal to
many other extremal parameters. In this paper we analyze a threshold-free heuristic
procedure. We also make comparisons with other heuristic procedures already
developed within the extremal index estimation. Our study is based on simulation.
We illustrate with an application to environmental data.This research was financed by Portuguese Funds through FCT — Fundação
para a Ciência e a Tecnologia, through the projects UID/MAT/00013/2013 and
UID/MAT/00006/2013 and by the Research Center CEMAT through the Project
UID/Multi/04621/2013.info:eu-repo/semantics/publishedVersio
Smoothness of time series: a new approach to estimation
The assessment of the risk of occurrence of extreme phenomena is inherently linked to the theory of extreme values. In the context of a time series, the analysis of its trajectory toward a greater or lesser smoothness, i.e. presenting a lesser or greater propensity for oscillations, respectively, constitutes another contribution in the assessment of the risk associated with extreme observations. For example, a financial market index with successive oscillations between high and low values shows investors a more unstable and uncertain behavior. In stationary time series, the upper tail smoothness coefficient is described by the tail dependence coefficient, a well-known concept first introduced by Sibuya. This work focuses on an inferential analysis of the upper tail smoothness coefficient, based on subsampling techniques for time series. In particular, we propose an estimator with reduced bias. We also analyze the estimation of confidence intervals through a block bootstrap methodology and a test procedure to prior detect the presence or absence of smoothness. An application to real data is also presented.The author is very grateful to the reviewers for their comments and suggestions which greatly improved this work. The research of the author as partially financed by Portuguese Funds through FCT (Fundação para a Ciência e a Tecnologia) within the Projects UIDB/00013/2020 and UIDP/00013/2020
Measuring extremal clustering in time series
The propensity of data to cluster at extreme values is important for risk assessment. For example, heavy rain over time leads to catastrophic floods. The extremal index is a measure of Extreme Values Theory that allows measurement of the degree of high-value clustering in a time series. Inference about the extremal index requires a prior choice of values for tuning parameters, which impacts the efficiency of existing estimators. In this work, we propose an algorithm that avoids these constraints. Performance is evaluated based on simulations. We also illustrate with real data.The author was financed by Portuguese Funds through FCT - Fundação para a Ciência e a Tecnologia within the Projects UIDB/00013/2020 and UIDP/00013/2020 of Centre of Mathematics of the University of Minho
Dependência extremal: risco de contágio de valores extremos
O fenómeno da globalização, juntamente com um relaxamento na supervisão dos mercados financeiros, tornou-os mais vulneráveis e mais dependentes entre si. A ocorrência de grandes perdas
em mercados fortes acaba por se reflectir ao nível das principais bolsas
mundiais, e vice-versa. A necessidade de medir esta interdependência extremal conduziu ao aparecimento de diversos coeficientes
no seio da teoria multivariada de valores extremos. Neste trabalho
apresentam-se coeficientes para a dependência extremal entre dois
vetores aleatórios, estendendo medidas existentes na literatura. A
estimação ser´a também abordada e uma ilustração do conceito será
feita com dados reais.This research was financed by FEDER Funds through “Programa Operacional Factores de Competitividade - COMPETE” and by Portuguese Funds through FCT - ”Fundação para a Ciência e a Tecnologia”, within the Project PEst-OE/MAT/UI0013/201
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