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The stopped clock model

Author

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  • Ferreira Helena

    (Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Departamento de Matemática, Avenida Marquês d’Avila e Bolama, 6200-001 Covilhã, Portugal)

  • Ferreira Marta

    (Centro de Matemática e Departamento de Matemática, Universidade do Minho, CEMAT, Instituto Superior Técnico, Universidade de Lisboa, Lisboa, Portugal)

Abstract

The extreme value theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological advances allowing an increasingly larger and more efficient data collection, there are sometimes failures in the records, which causes difficulties in statistical inference, especially in the tail where data are scarcer. In this article, we present a model with a simple and intuitive failures scheme, where each record failure is replaced by the last record available. We will study its extremal behavior with regard to local dependence and high values clustering, as well as the temporal dependence on the tail.

Suggested Citation

  • Ferreira Helena & Ferreira Marta, 2022. "The stopped clock model," Dependence Modeling, De Gruyter, vol. 10(1), pages 48-57, January.
    • Handle: RePEc:vrs:demode:v:10:y:2022:i:1:p:48-57:n:7
    DOI: 10.1515/demo-2022-0101
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    References listed on IDEAS

    as
    1. Helena Ferreira & Ana Paula Martins & Maria Graça Temido, 2021. "Extremal behaviour of a periodically controlled sequence with imputed values," Statistical Papers, Springer, vol. 62(6), pages 2991-3013, December.
    2. Marta Ferreira & Helena Ferreira, 2012. "On extremal dependence: some contributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 566-583, September.
    Full references (including those not matched with items on IDEAS)

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