Extreme Values of Non-Stationary Sequences and the Extremal Index.
NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PRECESSES
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The conditions used to generalize the extreme value theory for stationary random sequences to non-stationary sequences are studied with respect to their necessity. The authors find that the extremal index, defined in the stationary case, plays a similar role in the non-stationary case. The details show that this index describes not only the behavior of exceedances above a high level constant boundary, but also above a non-constant high level boundary.
- Statistics and Probability