Extremes and local dependence in stationary sequences View Full Text


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Article Info

DATE

1983-12

AUTHORS

M. R. Leadbetter

ABSTRACT

Extensions of classical extreme value theory to apply to stationary sequences generally make use of two types of dependence restriction:a weak “mixing condition” restricting long range dependencea local condition restricting the “clustering” of high level exceedances.The purpose of this paper is to investigate extremal properties when the local condition (b) is omitted. It is found that, under general conditions, the type of the limiting distribution for maxima is unaltered. The precise modifications and the degree of clustering of high level exceedances are found to be largely described by a parameter here called the “extremal index” of the sequence. More... »

PAGES

291-306

References to SciGraph publications

  • 1974-12. On extreme values in stationary sequences in PROBABILITY THEORY AND RELATED FIELDS
  • 1982-03. Limit laws for the maximum and minimum of stationary sequences in PROBABILITY THEORY AND RELATED FIELDS
  • 1974-03. The maximum term of uniformly mixing stationary processes in PROBABILITY THEORY AND RELATED FIELDS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/bf00532484

    DOI

    http://dx.doi.org/10.1007/bf00532484

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1023261655


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