Extremes of Stationary Sequences with Failures

DOI10.1080/15326340600820554MaRDI QIDQ5446506zbMATH OpenOpenAlexWikidataFDO

Authors Andreia Hall, J. Hüsler

Publication date 6 March 2008

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326340600820554

zbMATH Keywords

discrete distributionsexceedance point processesextremal indexextreme value theoryfailuremissing observations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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• On the extremes of randomly sub-sampled time series
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• Extreme values of non-stationary random sequences

Cites work

• An extremal markovian sequence
• Calculating the extremal index for a class of stationary sequences
• Extreme value theory for a class of discrete distributions with applications to some stochastic processes
• Extremes and related properties of random sequences and processes
• Extremes of Some Sub-Sampled Time Series
• Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
• Maxima and exceedances of stationary Markov chains
• Maximum term of a particular autoregressivesequence with discrete margins
• Mixing: Properties and examples
• On point processes on the circle
• On the exceedance point process for a stationary sequence
• The extremal index and clustering of high values for derived stationary sequences

Cited in

(11)

• On the max-semistable limit of maxima of stationary sequences with missing values
• On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring
• On the maxima and minima of complete and incomplete samples from nonstationary random fields
• Extreme values of the uniform order 1 autoregressive processes and missing observations
• Extreme values of linear processes with heavy-tailed innovations and missing observations
• Extremal behaviour of a periodically controlled sequence with imputed values
• The stopped clock model
• On the extremes of randomly sub-sampled time series
• Tail dependence under sample failures
• Extremes in incomplete samples from moving averages of random variables from the domain of attraction of the Gumbel distribution
• Some asymptotic results on extremes of incomplete samples

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