Segers, Johan
[Tilburg University]
Classical extreme value theory for stationary sequences of random variables can to a large extent be paraphrased as the study of exceedances over a high threshold. A special role within the description of the temporal dependence between such exceedances is played by the extremal index. Parts of this theory can be generalized not only to random variables on an arbitrary state space hitting certain failure sets, but even to a triangular array of rare events on an abstract probability space. In the case of M4 (maxima of multivariate moving maxima) processes, the arguments take a simple and direct form.
Bibliographic reference |
Segers, Johan. Rare events, temporal dependence, and the extremal index. In: Journal of Applied Probability, Vol. 43, no.2, p. 463-485 (2006) |
Permanent URL |
http://hdl.handle.net/2078/114585 |