Publicação
Extremal behaviour in models of superposition of random variables
| Resumo: | Let X(i) ={Xgi(n)}n≥1, i= 1, 2, be sequences of random variables, where {gi(n)}n≥1 are disjoint and strictly increasing sequences of integer numbers such that {g1(n)}n≥1 ∪ {g2(n)}n≥1 = N. Using superposition of point processes, we study the extremal behaviour of a superposed sequence {Xn}n≥1 = {Xg1(n)}n≥1 ∪ {Xg2(n)}n≥1 , where we consider the proportion of variables superposed from each sequence asymptotically constant and {Xn}n≥1 verifying some dependence conditions. We apply the obtained results in the computation of the bivariate extremal index. |
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| Autores principais: | Pereira, Luísa |
| Assunto: | extreme value nonstationarity extremal index superposition of point processes |
| Ano: | 2004 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | unknown |
| Instituição associada: | Instituto Nacional de Estatística |
| Idioma: | inglês |
| Origem: | REVSTAT-Statistical Journal |
| Resumo: | Let X(i) ={Xgi(n)}n≥1, i= 1, 2, be sequences of random variables, where {gi(n)}n≥1 are disjoint and strictly increasing sequences of integer numbers such that {g1(n)}n≥1 ∪ {g2(n)}n≥1 = N. Using superposition of point processes, we study the extremal behaviour of a superposed sequence {Xn}n≥1 = {Xg1(n)}n≥1 ∪ {Xg2(n)}n≥1 , where we consider the proportion of variables superposed from each sequence asymptotically constant and {Xn}n≥1 verifying some dependence conditions. We apply the obtained results in the computation of the bivariate extremal index. |
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