Relative extremal index of two stationary processes
نویسندگان
چکیده
منابع مشابه
Extremal Behaviour of Stationary Processes: the Calibration Technique in the Extremal Index Estimation
Classical extreme value methods were derived when the underlying process is assumed to be a sequence of independent random variables. However when observations are taken along the time and/or the space the independence is an unrealistic assumption. A parameter that arises in this situation, characterizing the degree of local dependence in the extremes of a stationary series, is the extremal ind...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1991
ISSN: 0304-4149
DOI: 10.1016/0304-4149(91)90048-h