Revisiting Resampling Methods in the Extremal Index Estimation: Improving Risk Assessment

2018 ◽  
pp. 141-153
Author(s):  
D. Prata Gomes ◽  
M. M. Neves
Keyword(s):  
Risk Assessment ◽  
Extremal Index ◽  
Resampling Methods ◽  
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.

Computer intensive methods for improving the extremal index estimation

2015 ◽  
Author(s):  
Dora Prata Gomes ◽  
Maria Manuela Neves
Keyword(s):  
Extremal Index ◽  
Index Estimation
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