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Extremes and Local Dependence in Stationary Sequences

M. R. Leadbetter

出版	Københavns Universitet. Institute of Mathematical Statistics, 1982
URL	http://books.google.com.hk/books?id=5RRIOAAACAAJ&hl=&source=gbs_api

註釋

Extensions of classical extreme value theory to apply to stationary sequences generally make use of two types of dependence restriction: (a) a weak 'mixing condition' restricting long range dependence; and (b) a local condition restricting the 'clustering' of high level exceedances. The purpose of this paper is to investigate extremal properties when the local condition (b) is omitted. It is found that, under general conditions, the type of the limiting distribution for maxima is unaltered. The precise modifications and degree of clustering of high level exceedances are found to be largely described by a parameter here called the 'extremal index' of the sequence. (Author).