ABSTRACT
We propose a new threshold selection method for nonparametric estimation of the extremal index of stochastic processes. The discrepancy method was proposed as a data-driven smoothing tool for estimation of a probability density function. Now it is modified to select a threshold parameter of an extremal index estimator. A modification of the discrepancy statistic based on the Cramér–von Mises–Smirnov statistic is calculated by k largest order statistics instead of an entire sample. Its asymptotic distribution as
is proved to coincide with the
-distribution. Its quantiles are used as discrepancy values. The convergence rate of an extremal index estimate coupled with the discrepancy method is derived. The discrepancy method is used as an automatic threshold selection for the intervals and K-gaps estimators. It may be applied to other estimators of the extremal index. The performance of our method is evaluated by simulated and real data examples.
AMS SUBJECT CLASSIFICATION::
Disclosure statement
No potential conflict of interest was reported by the author(s).
Notes
1 The connection between (Equation1(1)
(1) ) and (Equation2
(2)
(2) ) can be found in Markovich (Citation2007, p. 81).
2 Theoretically, events are allowed. In practice, such cases related to single inter-arrival times between consecutive exceedances are meaningless.
3 The modification of classical statistic (Equation2
(2)
(2) ) eliminates the dependence of the percentage points of the C–M–S statistic on the sample size (Stephens Citation1974). For n>40 it changes the statistic on less than one percent. One can use the modification with regard to
for finite L due to the closeness of its distribution to the limit distribution of the C–M–S statistic by Theorem 3.2.