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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE