Accession Number:
ADA125606
Title:
Extreme Values of Non-Stationary Sequences and the Extremal Index.
Descriptive Note:
Technical rept.,
Corporate Author:
NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PRECESSES
Personal Author(s):
Report Date:
1982-10-01
Pagination or Media Count:
17.0
Abstract:
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.
Descriptors:
Subject Categories:
- Statistics and Probability