http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
Estimating the extremal index under m-dependence and tail balancing
Under m-dependence, stationarity, and tail balancing, the statistical significance and the estimation of the extremal index are studied. It is shown that the distribution of the sample maximum can be uniformly approximated given the extremal index and the marginal distribution as the sample size increases. An adaptive procedure is proposed for estimating the extremal index. The procedure is shown to be asymptotically optimal in a class of estimators. Computer simulations are performed to examine the effectiveness of the procedure for various sample sizes.
Includes bibliographical references (leaves 27-28).
Technical report (Texas A & M University. Department of Statistics) ; no. 179