Extreme Values of Non-Stationary Sequences and the Extremal Index.

Abstract

The conditions used to generalize the extreme value theory for stationary random sequences to non-stationary sequences are studied with respect to their necessity. The authors find that the extremal index, defined in the stationary case, plays a similar role in the non-stationary case. The details show that this index describes not only the behavior of exceedances above a high level constant boundary, but also above a non-constant high level boundary.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1982
Accession Number
ADA125606

Entities

People

  • Jurg Husler

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Boundaries
  • Computing-Related Activities
  • Construction
  • Data Science
  • Information Science
  • Interdisciplinary Science
  • Intervals
  • North Carolina
  • Probability
  • Sequences
  • Stationary
  • Stationary Processes
  • Statistical Analysis
  • Statistics
  • Stochastic Processes

Readers

  • Fluid Dynamics.
  • Statistical inference.