scientific article; zbMATH DE number 1292118

MaRDI QIDQ4241689zbMATH OpenFDO

Authors Maria da Graça Temido

Publication date 27 March 2000

Full work available at URL https://eudml.org/doc/48370

zbMATH Keywords

extreme valueslocal mixing conditionsstrong stationary sequences

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Review text

Let \( \{X_n\}\) be a strictly stationary random sequence and form \( M_n= \max\{X_1,\dots,X_n\} \) and \( W_n= \min \{X_1,\dots,X_n\} .\) For upcrossing and downcrossing levels \( \{u_n\} \) and \( \{v_n\}\), respectively, \textit{R. A. Davis} [Ann. Probab. 7, 453--460 (1979; Zbl 0401.60019)] considered the asymptotic independence condition \(D(u_n,v_n)\) and a local dependence condition \( D'(u_n,v_n)\) under which \(M_n\) and \(W_n\) behave as if \(\{X_n\}\) was iid sequence. Instead of \(D'(u_n,v_n)\) \textit{M. F. Oliveira} and \textit{K. F. Turkman} [Port. Math. 49, No. 1, 29--36 (1992; Zbl 0760.60023)] introduced a weaker local mixing condition \(D^*\). Under \(D(u_n,v_n)\) and \(D^*(u_n,v_n)\) the asymptotic joint distribution of \(M_n\) and \(W_n\) may be obtained from the bivariate distribution of two consecutive random variables. The sequences \(M_n\) and \(W_n\) behave again as asymptotically independent. The author suggests another local mixing condition \(\widetilde D \) which is weaker than \( D^* \) and restricts the occurrence of three and more level crossings in a cluster. Under \(D(u_n,v_n)\) and \(\widetilde D (u_n,v_n)\) the joint limit distribution of \(M_n\) and \(W_n\) is computed by the means of four kinds of up-and downcrossing of the levels \(u_n\) and \(v_n\), yet \(M_n\) and \(W_n\) are not necessarily asymptotically independent.

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(5)

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• Maxima and minima of complete and incomplete stationary sequences
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