Extreme values of non-stationary random sequences-Reference-Cited by-同舟云学术

Extreme values of non-stationary random sequences

Published:1986-12 Issue:4 Volume:23 Page:937-950
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Hüsler Jürg

Abstract

We extend some results of the extreme-value theory of stationary random sequences to non-stationary random sequences. The extremal index, defined in the stationary case, plays a similar role in the extended case. The details show that this index describes not only the behaviour of exceedances above a high level but also above a non-constant high boundary.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference8 articles.

1. Extremes of Moving Averages of Stable Processes

2. A Limit Theorem for the Maximum of Autoregressive Processes with Uniform Marginal Distributions

3. Limit Theorems for Extreme Values of Chain-Dependent Processes

4. Asymptotic approximation of crossing probabilities of random sequences

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