SEMINÁRIO: The Choice of Block Size for Resampling in the Extremal Index Estimation


  • Profª Dora Gomes – CMA e Departamento de Matemática, FCT – Universidade Nova de Lisboa
  • FCUL – Campo Grande – Bloco C6 Piso 4 – Sala: 6.4.30 – 14:30h
  • Quarta-feira, 22 de Junho de 2016
  • Referência Projeto: Projecto FCT: UID/MAT/00006/2013

Resampling computer intensive methodologies, like the bootstrap and the jackknife have been recently considered in a reliable estimation of parameters of rare events, among which the extremal index. Because of the serial dependence that arises in many applications, the classical bootstrap cannot be applied and the block bootstrap procedure needs to be considered. However, the block size for resampling strongly affects the estimates and needs to be properly estimated. In this talk, procedures for the choice of the block size for resampling will be considered. Results from a simulation study will illustrate the performance of those procedures.