Phantom distribution functions for some stationary sequences

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

Authors Paul Doukhan, Adam Jakubowski, Gabriel Lang

Publication date 8 December 2015

Published in Extremes (Search for Journal in Brave)

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

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)

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.

Recommendations

• Directional phantom distribution functions for stationary random fields
• Quenched phantom distribution functions for Markov chains
• Relative extremal index of two stationary processes
• A limit theorem for stationary \(\varphi{}\)-mixing sequences
• Extreme values in stationary sequences

Cites work

• scientific article; zbMATH DE number 5520724 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• An asymptotic independent representation in limit theorems for maxima of nonstationary random sequences
• Applied Probability and Queues
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• Extreme value theory. An introduction.
• Extreme values for stationary and Markov sequences
• Extremes and local dependence in stationary sequences
• Extremes and related properties of random sequences and processes
• Introduction to strong mixing conditions. Vol. 1.
• Limit theorems for the maximum term of a stationary process
• Markov Chains and Stochastic Stability
• Maxima and exceedances of stationary Markov chains
• Mixing: Properties and examples
• Non-strong mixing autoregressive processes
• Products of distribution functions attracted to extreme value laws
• Relative extremal index of two stationary processes
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Weak dependence. With examples and applications.

Cited in

(8)

• Clusters of extremes: modeling and examples
• Directional phantom distribution functions for stationary random fields
• On Extremal Index of max-stable stationary processes
• Asymptotics of the order statistics for a process with a regenerative structure
• 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
• Detecting systematic anomalies affecting systems when inputs are stationary time series

This page was built for publication: Phantom distribution functions for some stationary sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q897845)