Statistical inference on the local dependence condition of extreme values in a stationary sequence

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dc.contributor.authorHolešovský, Jancs
dc.contributor.authorFusek, Michalcs
dc.coverage.issue3cs
dc.coverage.volume28cs
dc.date.accessioned2025-08-07T05:57:03Z
dc.date.available2025-08-07T05:57:03Z
dc.date.issued2025-07-28cs
dc.description.abstractThe extremal index is an important characteristic measuring dependence of extreme values in a stationary series. Several new estimators that are mostly based on interexceedance times within the Peaks-over-Threshold model have been recently published. Nevertheless, in many cases these estimators rely on suitable choice of auxiliary parameters and/or are derived under assumptions that are related to validity of the local dependence condition $D^{(k)}(u_n)$. Although the determination of the correct order $k$ in the $D^{(k)}(u_n)$ condition can have major effect on the extremal index estimates, there are not many reliable methods available for this task. In this paper, we present various approaches to assessing validity of the $D^{(k)}(u_n)$ condition including a graphical diagnostics and propose several statistical tests. A simulation study is carried out to determine performance of the statistical tests, particularly the type I and type II errors.en
dc.formattextcs
dc.format.extent557-578cs
dc.format.mimetypeapplication/pdfcs
dc.identifier.citationEXTREMES. 2025, vol. 28, issue 3, p. 557-578.en
dc.identifier.doi10.1007/s10687-025-00513-8cs
dc.identifier.issn1386-1999cs
dc.identifier.orcid0000-0003-3235-6039cs
dc.identifier.orcid0000-0002-9842-8384cs
dc.identifier.other197986cs
dc.identifier.researcheridAAC-8723-2019cs
dc.identifier.researcheridE-4920-2018cs
dc.identifier.scopus56584726000cs
dc.identifier.scopus39161155400cs
dc.identifier.urihttps://hdl.handle.net/11012/255408
dc.language.isoencs
dc.publisherSpringercs
dc.relation.ispartofEXTREMEScs
dc.relation.urihttps://link.springer.com/article/10.1007/s10687-025-00513-8cs
dc.rightsCreative Commons Attribution 4.0 Internationalcs
dc.rights.accessopenAccesscs
dc.rights.sherpahttp://www.sherpa.ac.uk/romeo/issn/1386-1999/cs
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/cs
dc.subjectLocal dependenceen
dc.subjectextremal indexen
dc.subjectextreme value theoryen
dc.subjectclustersen
dc.titleStatistical inference on the local dependence condition of extreme values in a stationary sequenceen
dc.type.driverarticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen
sync.item.dbidVAV-197986en
sync.item.dbtypeVAVen
sync.item.insts2025.08.07 07:57:03en
sync.item.modts2025.08.07 07:34:12en
thesis.grantorVysoké učení technické v Brně. Fakulta stavební. Ústav matematiky a deskriptivní geometriecs
thesis.grantorVysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií. Ústav matematikycs
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