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شاخص اکستریم
Finally, in Section 1.4.4 we introduce the extremal index function as proper concept for modelling clusters of exceedances for continuous-time processes.
2.3.3 Extremal index function
A measure for the dependence in the extremes of a discrete-time process is the extremal index θ (Definition A.1.9, a detailed discus- sion about the extremal index can be found in Leadbetter et al
The extremal index can only take values in [0, 1].
The extremal index is a quantity, which allows us to characterize the relationship between the dependence structure of the data and their extremal behavior.
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