Uniform estimator of the extremal index of stochastic recurrent sequences

DOI10.3103/S002713221202009XMaRDI QIDQ355296zbMATH OpenFDO

Authors Anna A. Goldaeva

Publication date 24 July 2013

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

extremal indexuniform upper bound

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Inequalities; stochastic orderings (60E15)

Recommendations

• Bounds for the extremal index of stochastic recurrent sequences
• Extremal indices and clusters in the linear recursive stochastic sequences
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• Extremal behavior of recurrent random sequences

Cites work

• Extremal behavior of recurrent random sequences
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Extremes and related properties of random sequences and processes
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Usage of processes with continuous time in the study of stochastic recurrent sequences

Cited in

(6)

• On extremal indices greater than one for a scheme of series
• Extremal indices and clusters in the linear recursive stochastic sequences
• Bounds for the extremal index of stochastic recurrent sequences
• scientific article; zbMATH DE number 2138429 (Why is no real title available?)
• Discrepancy estimates for index-transformed uniformly distributed sequences
• Usage of processes with continuous time in the study of stochastic recurrent sequences

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