Extreme Value Theory and Dependence.

Abstract

The purpose of this paper is to give a very brief account of some of the essential ideas underlying classical extreme value theory, and to see how these are used (modified as necessary) for dependent cases. In particular it will be shown how the classical theory still applies for moderately dependent stationary sequences, but that under higher local dependence, clustering of high values occurs, requiring modifications of the theory especially as it involves order statistics other than the maximum. Underlying concepts (especially point process convergence results) are emphasized. Additional keywords: Stochastic processes; Random variables. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1985
Accession Number
ADA159138

Entities

People

  • M. Ross Leadbetter

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Clustering
  • Convergence
  • Data Science
  • Information Science
  • Intellectual Property
  • Intensity
  • Network Protocols
  • North Carolina
  • Notation
  • Order Statistics
  • Probability
  • Random Variables
  • Stationary
  • Stationary Processes
  • Statistics
  • Stochastic Processes
  • Weak Convergence

Readers

  • Calculus or Mathematical Analysis
  • Statistical inference.