Checking the Dependency of E-coli Data with Extremal Index Using Block and Run Estimators

Authors

  • Mohd Bakri Adam
  • Noor Fadhilah Mohd Ramlan

DOI:

https://doi.org/10.11113/matematika.v29.n.599

Abstract

The extremal index characterizes the degree of local dependence in the extremes of a stationary time series. In this paper, we discuss an alternative interpretation of extremal index as a ratio of the limiting expected value of two random variable defined by extreme levels and a partition of the stationary sequence into blocks. We use the run and the block definition for the cluster to analyse the clustering to find extremal index. These experiments highlight the importance of block size selection. The practical implications are examined through the E-coli data from rivers in Selangor. Keywords: Block and Run Estimators; Dependency; E-coli; Extremal Index 2010 Mathematics Subject Classification: 60G70; 62G32; 58E15

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Published

01-12-2013

Issue

Volume 29 (December 2013)

Section

Analysis and Algebra

License

Copyright of articles that appear in MATEMATIKA: MJIAM belongs exclusively to Penerbit UTM Press, Universiti Teknologi Malaysia. This copyright covers the rights to reproduce the article, including reprints, electronic reproductions or any other reproductions of similar nature.

How to Cite

Checking the Dependency of E-coli Data with Extremal Index Using Block and Run Estimators. (2013). MATEMATIKA, 29, 149-158. https://doi.org/10.11113/matematika.v29.n.599