eldorado.tu-dortmund.de/items/83d3149c-db3d-4980-a4b4-4db7fa94b3e7
Modelling interexceedance times of temporally clustered extreme events
parameter. To estimate them from data, we propose two minimum distance estimators (CMmod1 and CMmod2) based on modified Cramér-von Mises distances. Their weak consistency is shown theoretically, and their [...] their finite sample performance is assessed through extensive simulations. Results highlight CMmod2's robustness to threshold selection and parameter constellations. The estimators are also evaluated against [...] fractional Poisson process. Despite requiring the estimation of an additional parameter, CMmod1 and CMmod2 show competitive accuracy, suggesting that explicit model selection may be avoidable. A case study on …