On blocks and runs estimators of extremal index

Article

Weissman, I. and Novak, S. 1998. On blocks and runs estimators of extremal index. Journal of Statistical Planning and Inference. 66 (2), pp. 281-288. https://doi.org/10.1016/S0378-3758(97)00095-5
TypeArticle
TitleOn blocks and runs estimators of extremal index
AuthorsWeissman, I. and Novak, S.
Abstract

Given a sample from a stationary sequence of random variables, we study the blocks and runs estimators of the extremal index.
Conditions are given for consistency and asymptotic normality of these estimators. We show that moment restrictions assumed by Hsing (1991, 1993) may be relaxed if a stronger mixing condition holds. The CLT for the runs estimator seems to be proven for the first time.

PublisherElsevier
JournalJournal of Statistical Planning and Inference
ISSN0378-3758
Publication dates
Print01 Mar 1998
Online19 Jun 1998
Publication process dates
Deposited19 Oct 2016
Accepted01 Dec 1996
Output statusPublished
Additional information

Weissman I. and Novak S.Y. (1998) On blocks and runs estimators of extremal index. – J. Statist. Planning Inference, v. 66, No 2, 281–288.

Digital Object Identifier (DOI)https://doi.org/10.1016/S0378-3758(97)00095-5
LanguageEnglish
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