A New Estimator For Extremal Index Of Stationary Series

We discuss the estimator for extremal index of stationary series. A brief introduction to the classical extreme value theory is given in Chapter 2. In Chapter 3, we introduce several estimating method for extremal index of stationary series, including the method in view of interexceedence time. In Chapter 4, we give a possible distribution of the interexceedence time: Mixing-Geometric Distribution, from which we get a new estimator for extremal index. In order to discuss the effect of the new estimator, we compare these estimators via simulation.