Extremes of periodic moving averages of random variables with regularly varying tail probabilities.
Ana Paula Martins, Helena Ferreira (2004)
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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=-m m-1 cjZn-j, n ≥ 1, we compute...