hal-00214306, version 2
Regenerative Block-Bootstrap Confidence Intervals for the Extremal Index
Résumé : This paper is devoted to show how the regenerative block-bootstrap methodology (RBB), proved asymptotically valid in the case of sample means and U-statistics based on data drawn from a regenerative arkov chain X = {Xn}n in Bertail and Clemencon (2005, 2006b), may be successfully extended for onstructing confidence intervals for the extremal index of instantaneous functions {f(Xn)}n. Precisely, this boils down to applying the RBB procedure to the regenerative blocks estimator proposed in Bertail et al. (2007) for measuring the clustering tendency of high threshold exceedances. Asymptotic normality of this estimator is established, together with the asymptotic validity of the bootstrap distribution estimate, under mild stochastic stability assumptions. Eventually, a preliminary numerical experiment is presented, with the aim to empirically evaluate the capacity of the RBB for building accurate confidence intervals for the extremal index of the waiting process related to a M/M/1 queue.
- 1 :
- Université Paris X - Paris Ouest Nanterre La Défense
- 2 :
- Télécom ParisTech – CNRS : UMR5141
- 3 :
- Institut national de la recherche agronomique (INRA) : UR1204
- Domaine : Mathématiques/Statistiques
Statistiques/Théorie - Mots-clés : Atomic Markov chain – extremal index – regenerative block-bootstrap
- Commentaire : Contribution to IWAP 2008 http://www.lmac.utc.fr/IWAP2008/
- Versions disponibles : v1 (24-01-2008) v2 (27-03-2008)
- hal-00214306, version 2
- http://hal.archives-ouvertes.fr/hal-00214306
- oai:hal.archives-ouvertes.fr:hal-00214306
- Contributeur :
- Soumis le : Jeudi 27 Mars 2008, 09:47:03
- Dernière modification le : Mardi 28 Février 2012, 08:55:38



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