Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations

✍ Scribed by A. Hall; M.G. Scotto

• Publisher: Elsevier Science
• Year: 2003
• Tongue: English
• Weight: 206 KB
• Volume: 63
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(03)00057-9

✦ Synopsis

Let {X k } be a non-negative integer-valued stationary moving average sequence and deÿne Y k = X Tk as the sub-sampled series at a ÿxed integer interval T ¿ 1. We look at the limiting distribution of sample maxima of {Y k } and the corresponding extremal index.