Relative extremal index of two stationary processes

DOI10.1016/0304-4149(91)90048-HMaRDI QIDQ1176547zbMATH OpenFDO

Authors Adam Jakubowski

Publication date 25 June 1992

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(91)90048-H

zbMATH Keywords

distributional mixingextremal indexextreme valuesphantom distributionstationary sequence

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Review text

The notion of extremal index was introduced by Leadbetter (1981) and the one of phantom distribution by O'Brien (1987). The author joins the two concepts by introducing the notion of extremal index \(\theta\) \((0<\theta < +\infty)\) of a stationary sequence \(\{X_ n\}\) with relation to another stationary sequence \(\{X_ n'\}\) by the relation \[ \hbox{Prob} \{\max_{1\leq j\leq n} X_ j\leq a_ n\}-\hbox{Prob}^ \theta\{\max_{1\leq j\leq n}X_ j'\leq a_ n\}\to 0 \] as \(n\to \infty\) and for every sequence \(\{a_ n\}\). He gives criteria for existence, discussing in particular mixing conditions. The concept is important but, for some convenient applications, the next problem will be surely the estimation of the extremal index for two separate versions of \(\{X_ n\}\) and \(\{X_ n'\}\).

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• Extremal index estimation for a weakly dependent stationary sequence
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Cites work

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Cited in

(10)

• Quenched phantom distribution functions for Markov chains
• On extremal indices greater than one for a scheme of series
• Asymptotic (r-1)-dependent representation for rth order statistic from a stationary sequence
• Directional phantom distribution functions for stationary random fields
• Managing local dependencies in asymptotic theory for maxima of stationary random fields
• Almost sure relative stability of the maximum of a stationary sequence
• On Extremal Index of max-stable stationary processes
• On maxima of stationary fields
• Extremes of homogeneous Gaussian random fields
• Phantom distribution functions for some stationary sequences

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