Phantom distribution functions for some stationary sequences

DOI10.1007/S10687-015-0228-YzbMATH Open1337.60049arXiv1509.05449OpenAlexW2963818327WikidataQ59403161 ScholiaQ59403161MaRDI QIDQ897845FDOQ897845

Authors: Paul Doukhan, Adam Jakubowski, Gabriel Lang 

Publication date: 8 December 2015

Published in: Extremes (Search for Journal in Brave)

Abstract: The notion of a phantom distribution function (phdf) was introduced by O'Brien (1987). We show that the existence of a phdf is a quite common phenomenon for stationary weakly dependent sequences. It is proved that any $alpha$-mixing stationary sequence with continuous marginals admits a continuous phdf. Sufficient conditions are given for stationary sequences exhibiting weak dependence, what allows the use of attractive models beyond mixing. The case of discontinuous marginals is also discussed for $alpha$-mixing. Special attention is paid to examples of processes which admit a continuous phantom distribution function while their extremal index is zero. We show that Asmussen (1998) and Roberts et al. (2006) provide natural examples of such processes. We also construct a non-ergodic stationary process of this type.

Full work available at URL: https://arxiv.org/abs/1509.05449

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zbMATH Keywords

extremal indexweak dependenceextremesphantom distribution function\(\alpha\)-mixing sequencesLindley's processrandom walk metropolis algorithmstrictly stationary processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Limit theorems in probability theory (60F99)

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Cited In (8)

• Detecting systematic anomalies affecting systems when inputs are stationary time series
• Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
• Managing local dependencies in asymptotic theory for maxima of stationary random fields
• Quenched phantom distribution functions for Markov chains
• Directional phantom distribution functions for stationary random fields
• Asymptotics of the order statistics for a process with a regenerative structure
• On Extremal Index of max-stable stationary processes
• Clusters of extremes: modeling and examples

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