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The extremal index of sub-sampled processes

✍ Scribed by A.P Martins; H Ferreira

Book ID
104339927
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
208 KB
Volume
124
Category
Article
ISSN
0378-3758

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✦ Synopsis

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 . The results are applied to an ARMAX process.

πŸ“œ SIMILAR VOLUMES

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Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations
✍ A. Hall; M.G. Scotto πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 206 KB

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