%0 Journal Article
%T Analysis of estimation methods for the extremal index
%J -
%D 2018
%R DOI Code: 10.1285/i20705948v11n1p296
%X 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 dierent 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
%K declustering
%K extreme value theory
%K local dependence conditions
%K stationary sequences
%U http://siba-ese.unisalento.it/index.php/ejasa/article/view/16790