Extremes and Local Dependence in Stationary Sequences.
Abstract
Extensions of classical extreme value theory to apply to stationary sequences generally make use of two types of dependence restriction: (a) a weak 'mixing condition' restricting long range dependence; and (b) a 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 degree of clustering of high level exceedances are found to be largely described by a parameter here called the 'extremal index' of the sequence. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1982
- Accession Number
- ADA120180
Entities
People
- M. Ross Leadbetter
Organizations
- University of North Carolina at Chapel Hill