Extremal Indices in the Series Scheme and their Applications
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Publication:6349482
arXiv2009.09469MaRDI QIDQ6349482FDOQ6349482
Authors: A. V. Lebedev 
Publication date: 20 September 2020
Abstract: We generalize the concept of extremal index of a stationary random sequence to the series scheme of identically distributed random variables with random series sizes tending to infinity in probability. We introduce new extremal indices through two definitions generalizing the basic properties of the classical extremal index. We prove some useful properties of the new extremal indices. We show how the behavior of aggregate activity maxima on random graphs (in information network models) and the behavior of maxima of random particle scores in branching processes (in biological population models) can be described in terms of the new extremal indices. We also obtain new results on models with copulas and threshold models. We show that the new indices can take different values for the same system, as well as values greater than one.
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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