Extremal theory for stochastic processes (Q1105274): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q930678 |
||
Property / author | |||
Property / author: M. Ross Leadbetter / rank | |||
Revision as of 12:37, 21 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Extremal theory for stochastic processes |
scientific article |
Statements
Extremal theory for stochastic processes (English)
0 references
1988
0 references
The authors present a review of the principal results in and related to the distributional theory of extremes of stationary sequences and processes. The review is given in three areas: extremes of sequences of independent, identically distributed random variables, extremes of stationary sequences and extremes of stationary continuous-parameter processes. Significant ideas and methods are described rather than details. In particular, the centrality of convergence results for point processes associated with extremes (such as exceedances and upcrossings) is emphasized. In many cases the details may be found in the book by the authors and \textit{G. Lindgren}, Extremes and related properties of random sequences and processes. (1983; Zbl 0518.60021). Applications are given to particular classes of processes (e.g., normal sequences and processes, regenerative and Markov sequences, moving averages, diffusion processes), and connections with the central limit problem of convergence of sums to nonnormal stable distributions are indicated.
0 references
theory of extremes of stationary sequences and processes
0 references
convergence results for point processes
0 references
moving averages
0 references
central limit problem
0 references
nonnormal stable distributions
0 references