𝔖 Bobbio Scriptorium
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Extremes of associated variables

✍ Scribed by H. Ferreira

Book ID
104302130
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
189 KB
Volume
63
Category
Article
ISSN
0167-7152

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✦ Synopsis

The association can be useful to model the approximate independence in the extreme value theory. The present paper proposes to study the limiting compound Poisson process for exceedances of high levels by associated variables. We give a su cient condition to get this limit based on the bivariate dependence structure of an associated sequence. The application of the dependence condition introduced is illustrated with auto-regressive sequences.

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## Abstract A new distribution is proposed for the annual maxima of enviromental variables such as wind speed or wave height. This distribution overcomes some of the problems caused by seasonal variation in environmental data. A method of estimating its parameteres is given together with some examp