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

Ana Paula Martins; Helena Ferreira

SORT (2004)

- Volume: 28, Issue: 2, page 161-176
- ISSN: 1696-2281

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topMartins, 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 -