Temat: stationary sequences - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Extremes in multivariate stationary normal sequences
Autorzy:: Wiśniewski, Mateusz
Powiązania:: https://bibliotekanauki.pl/articles/1339017.pdf
Data publikacji:: 1998
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:: stationary normal sequences
extreme order statistics
Opis:: This paper deals with a weak convergence of maximum vectors built on the base of stationary and normal sequences of relatively strongly dependent random vectors. The discussion concentrates on the normality of limits and extends some results of McCormick and Mittal [4] to the multivariate case.
Źródło:: Applicationes Mathematicae; 1998-1999, 25, 3; 375-379
1233-7234
Pojawia się w:: Applicationes Mathematicae
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Extremal behaviour of stationary processes: the calibration technique in the extremal index estimation
Autorzy:: Gomes, D.
Neves, Maria
Powiązania:: https://bibliotekanauki.pl/articles/729972.pdf
Data publikacji:: 2010
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: extreme value
stationary sequences
extremal index
estimation
calibration technique
Opis:: Classical extreme value methods were derived when the underlying process is assumed to be a sequence of independent random variables. However when observations are taken along the time and/or the space the independence is an unrealistic assumption. A parameter that arises in this situation, characterizing the degree of local dependence in the extremes of a stationary series, is the extremal index, θ. In several areas such as hydrology, telecommunications, finance and environment, for example, the dependence between successive observations is observed so large values tend to occur in clusters. The extremal index is a quantity which, in an intuitive way, allows one to characterise the relationship between the dependence structure of the data and their extremal behaviour. Several estimators have been studied in the literature, but they endure a problem that usually appears in semiparametric estimators - a strong dependence on the high level uₙ, with an increasing bias and a decreasing variance as the threshold decreases. The calibration technique (Scheffé, 1973) is here considered as a procedure of controlling the bias of an estimator. It also leads to the construction of confidence intervals for the extremal index. A simulation study was performed for a stationary sequence and two sets of stationary data are under study for applying this technique.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2010, 30, 1; 21-33
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

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