Extremes of periodic moving averages of random variables with regularly varying tail probabilities.

Martins, Ana Paula, and Ferreira, Helena. "Extremes of periodic moving averages of random variables with regularly varying tail probabilities.." SORT 28.2 (2004): 161-176. <http://eudml.org/doc/40456>.

@article{Martins2004,
abstract = {We define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of k consecutive variables of the sequence. By applying results, under local and global mixing conditions, to the (2m - 1)-dependent periodic sequence Xn(m) = Σj=-mm-1 cjZn-j, n ≥ 1, we compute the extremal index of the periodic moving average sequence Xn = Σj=-∞∞ cjZn-j, n ≥ 1, of random variables with regularly varying tail probabilities.This paper generalizes the theory for extremes of stationary moving averages with regularly varying tail probabilities.},
author = {Martins, Ana Paula, Ferreira, Helena},
journal = {SORT},
keywords = {Procesos estocásticos; Series temporales; Teoría de valores extremos; periodic moving average processes; extremal index; mixing condition},
language = {eng},
number = {2},
pages = {161-176},
title = {Extremes of periodic moving averages of random variables with regularly varying tail probabilities.},
url = {http://eudml.org/doc/40456},
volume = {28},
year = {2004},
}

TY - JOUR
AU - Martins, Ana Paula
AU - Ferreira, Helena
TI - Extremes of periodic moving averages of random variables with regularly varying tail probabilities.
JO - SORT
PY - 2004
VL - 28
IS - 2
SP - 161
EP - 176
AB - We define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of k consecutive variables of the sequence. By applying results, under local and global mixing conditions, to the (2m - 1)-dependent periodic sequence Xn(m) = Σj=-mm-1 cjZn-j, n ≥ 1, we compute the extremal index of the periodic moving average sequence Xn = Σj=-∞∞ cjZn-j, n ≥ 1, of random variables with regularly varying tail probabilities.This paper generalizes the theory for extremes of stationary moving averages with regularly varying tail probabilities.
LA - eng
KW - Procesos estocásticos; Series temporales; Teoría de valores extremos; periodic moving average processes; extremal index; mixing condition
UR - http://eudml.org/doc/40456
ER -