Towards Estimating Extremal Serial Dependence via the Bootstrapped Extremogram

@inproceedings{Davis2012TowardsEE,
  title={Towards Estimating Extremal Serial Dependence via the Bootstrapped Extremogram},
  author={Richard A. Davis},
  year={2012}
}
Davis and Mikosch [3] introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram. A major difficulty was the construction of credible confidence bands for the extremogram. In this paper, we employ the stationary bootstrap to overcome this problem. The use of the stationary bootstrap for the extremogram and the resulting interpretations… CONTINUE READING

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