Extreme Value for Dependent Sequences Via the Stein-Chen Method of Poisson Approximation.

Abstract

In 1970 Stein introduced a new method for bounding the approximation error in central limit theory for dependent variables. This was subsequently developed by Chen for Poisson approximation and has proved very successful in the areas to which it has been applied. Here this document shows how the method can be applied to extreme value theory for dependent sequences, focussing particularly on the nonstationary case. The method gives new and shorter proofs of some known results, with explicit bounds for the approximation error. Keywords Stocastic process; Random variables.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1987
Accession Number
ADA190325

Entities

People

  • Richard L. Smith

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Classification
  • Convergence
  • Mathematics
  • North Carolina
  • Probability
  • Probability Distributions
  • Random Variables
  • Scientific Research
  • Security
  • Sequences
  • Stationary
  • Stationary Processes
  • Statistics
  • Stochastic Processes
  • Universities

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.
  • Statistical inference.