CALCULATING THE EXTREMAL INDEX FOR A CLASS OF STATIONARY-SEQUENCES

被引：70

作者：

CHERNICK, MR

HSING, TL

MCCORMICK, WP

机构：

[1] TEXAS A&M UNIV SYST,DEPT STAT,COLLEGE STN,TX 77843

[2] UNIV GEORGIA,DEPT STAT,ATHENS,GA 30602

来源：

ADVANCES IN APPLIED PROBABILITY | 1991年 / 23卷 / 04期

关键词：

ARMA PROCESS; EXTREME VALUE; MIXING CONDITION;

D O I：

10.2307/1427679

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A local mixing condition D(k) is introduced for stationary sequences satisfying Leadbetter's condition D. Under the local mixing condition, the asymptotic distribution of the sample maximum can be calculated with the knowledge of the joint distribution of k consecutive terms. Some examples are given to illustrate the notion.

引用

页码：835 / 850

页数：16

共 10 条

[1]

Chernick M.R., 1978, THESIS STANFORD U

[2] A LIMIT-THEOREM FOR THE MAXIMUM OF AUTOREGRESSIVE PROCESSES WITH UNIFORM MARGINAL DISTRIBUTIONS [J].