𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Extremal analysis of processes sampled at different frequencies

✍ Scribed by M. E. Robinson; J. A. Tawn


Book ID
108547534
Publisher
Blackwell Publishing
Year
2000
Tongue
English
Weight
496 KB
Volume
62
Category
Article
ISSN
0952-8385

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The extremal index of sub-sampled proces
✍ A.P Martins; H Ferreira πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 208 KB

Let X = {Xn}nΒΏ0 be a stationary sequence with extremal index Γ‚ X . For the sub-sampled sequence Y = {X g(n) }nΒΏ1, where g generates blocks of I consecutive observations separated by T -I units, we present results on local and long-range dependence conditions and calculate the extremal index Γ‚ Y . Th

Modelling and forecasting time series sa
✍ JosΓ© Casals; Miguel Jerez; Sonia Sotoca πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 380 KB πŸ‘ 1 views

## Abstract This paper discusses how to specify an observable high‐frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both the dynamic components of a time series and their observability, in a multivariate li