On Threshold Selection Problem for Extremal Index Estimation

2021 ◽  
pp. 3-16
Author(s):  
Igor Rodionov
Keyword(s):  
Extremal Index ◽  
Selection Problem ◽  
Threshold Selection ◽  
Index Estimation

Resampling Procedures for a More Reliable Extremal Index Estimation

2020 ◽  
pp. 89-101
Author(s):  
Dora Prata Gomes ◽  
M. Manuela Neves
Keyword(s):  
Extremal Index ◽  
Index Estimation

scholarly journals Extremes, Extremal Index Estimation, Records, Moment Problem for the Pseudo-Lindley Distribution and Applications

2020 ◽  
Vol 13 (4) ◽  
pp. 739-757
Author(s):  
Gane Samb Lo ◽  
Modou Ngom ◽  
Moumouni Diallo
Keyword(s):  
Distribution Function ◽  
Asymptotic Normality ◽  
Moment Problem ◽  
Extremal Index ◽  
Hill Estimator ◽  
Lindley Distribution ◽  
Underlying Distribution ◽  
The Moment ◽  
Index Estimation ◽  
The Hill

The pseudo-Lindley distribution which was introduced in Zeghdoudi and Nedjar (2016) is studied with regards to it upper tail. In that  regard, and  when the underlying distribution function follows the Pseudo-Lindley law, we investigate  the the behavior of its values, the asymptotic normality of the Hill estimator and the double-indexed generalized Hill statistic process (Ngom and Lo, 2016), the asymptotic normality of the records values and the the moment problem.

scholarly journals Tail Index Estimation: Quantile Driven Threshold Selection

2016 ◽  
Author(s):  
Jon Danielsson ◽  
lerby murat ergun ◽  
Laurens de Haan ◽  
Casper G. de Vries
Keyword(s):  
Tail Index ◽  
Threshold Selection ◽  
Tail Index Estimation ◽  
Index Estimation
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