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

We define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of kconsecutive variables of the sequence. By applying results, under local and global mixing conditions, to the ( 2m – 1)–dependent periodic sequence X(...

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Detalles Bibliográficos
Autores: Martins, Ana Paula, Ferreira, Helena
Tipo de recurso: artículo
Fecha de publicación:2004
País:España
Institución:Universitat Politècnica de Catalunya (UPC)
Repositorio:UPCommons. Portal del coneixement obert de la UPC
Idioma:inglés
OAI Identifier:oai:upcommons.upc.edu:2099/3752
Acceso en línea:https://hdl.handle.net/2099/3752
Access Level:acceso abierto
Palabra clave:Stochastic processes
Processos estocàstics
Classificació AMS::60 Probability theory and stochastic processes::60G Stochastic processes
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spelling Extremes of periodic moving averages of random variables with regularly varying tail probabilitiesMartins, Ana PaulaFerreira, HelenaStochastic processesProcessos estocàsticsClassificació AMS::60 Probability theory and stochastic processes::60G Stochastic processesWe define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of kconsecutive variables of the sequence. By applying results, under local and global mixing conditions, to the ( 2m – 1)–dependent periodic sequence X(m) n = Pm – 1 j = –m cj Zn – j, n ≥ 1, we compute the extremal index of the periodic moving average sequence Xn= P∞ j=–∞ cj Zn – 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.Peer ReviewedInstitut d'Estadística de Catalunya20042004-01-0120072007-11-12journal articlehttp://purl.org/coar/resource_type/c_6501NAhttp://purl.org/coar/version/c_be7fb7dd8ff6fe43info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/2099/3752reponame:UPCommons. Portal del coneixement obert de la UPCinstname:Universitat Politècnica de Catalunya (UPC)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Attribution-NonCommercial-NoDerivs 2.5 Spainhttp://creativecommons.org/licenses/by-nc-nd/2.5/es/info:eu-repo/semantics/openAccessoai:upcommons.upc.edu:2099/37522026-05-27T15:37:01Z
dc.title.none.fl_str_mv Extremes of periodic moving averages of random variables with regularly varying tail probabilities
title Extremes of periodic moving averages of random variables with regularly varying tail probabilities
spellingShingle Extremes of periodic moving averages of random variables with regularly varying tail probabilities
Martins, Ana Paula
Stochastic processes
Processos estocàstics
Classificació AMS::60 Probability theory and stochastic processes::60G Stochastic processes
title_short Extremes of periodic moving averages of random variables with regularly varying tail probabilities
title_full Extremes of periodic moving averages of random variables with regularly varying tail probabilities
title_fullStr Extremes of periodic moving averages of random variables with regularly varying tail probabilities
title_full_unstemmed Extremes of periodic moving averages of random variables with regularly varying tail probabilities
title_sort Extremes of periodic moving averages of random variables with regularly varying tail probabilities
dc.creator.none.fl_str_mv Martins, Ana Paula
Ferreira, Helena
author Martins, Ana Paula
author_facet Martins, Ana Paula
Ferreira, Helena
author_role author
author2 Ferreira, Helena
author2_role author
dc.subject.none.fl_str_mv Stochastic processes
Processos estocàstics
Classificació AMS::60 Probability theory and stochastic processes::60G Stochastic processes
topic Stochastic processes
Processos estocàstics
Classificació AMS::60 Probability theory and stochastic processes::60G Stochastic processes
description We define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of kconsecutive variables of the sequence. By applying results, under local and global mixing conditions, to the ( 2m – 1)–dependent periodic sequence X(m) n = Pm – 1 j = –m cj Zn – j, n ≥ 1, we compute the extremal index of the periodic moving average sequence Xn= P∞ j=–∞ cj Zn – 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.
publishDate 2004
dc.date.none.fl_str_mv 2004
2004-01-01
2007
2007-11-12
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
NA
http://purl.org/coar/version/c_be7fb7dd8ff6fe43
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/2099/3752
url https://hdl.handle.net/2099/3752
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivs 2.5 Spain
http://creativecommons.org/licenses/by-nc-nd/2.5/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivs 2.5 Spain
http://creativecommons.org/licenses/by-nc-nd/2.5/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Institut d'Estadística de Catalunya
publisher.none.fl_str_mv Institut d'Estadística de Catalunya
dc.source.none.fl_str_mv reponame:UPCommons. Portal del coneixement obert de la UPC
instname:Universitat Politècnica de Catalunya (UPC)
instname_str Universitat Politècnica de Catalunya (UPC)
reponame_str UPCommons. Portal del coneixement obert de la UPC
collection UPCommons. Portal del coneixement obert de la UPC
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300724

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