Relative extremal index of two stationary processes

From MaRDI portal
(Redirected from Publication:1176547)





The notion of extremal index was introduced by Leadbetter (1981) and the one of phantom distribution by O'Brien (1987). The author joins the two concepts by introducing the notion of extremal index \(\theta\) \((0<\theta < +\infty)\) of a stationary sequence \(\{X_ n\}\) with relation to another stationary sequence \(\{X_ n'\}\) by the relation \[ \hbox{Prob} \{\max_{1\leq j\leq n} X_ j\leq a_ n\}-\hbox{Prob}^ \theta\{\max_{1\leq j\leq n}X_ j'\leq a_ n\}\to 0 \] as \(n\to \infty\) and for every sequence \(\{a_ n\}\). He gives criteria for existence, discussing in particular mixing conditions. The concept is important but, for some convenient applications, the next problem will be surely the estimation of the extremal index for two separate versions of \(\{X_ n\}\) and \(\{X_ n'\}\).











This page was built for publication: Relative extremal index of two stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1176547)