A Counterexample Concerning the External index
Rept. for 1 Sep 1987-31 Aug 1988
NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES
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The concept of an extremal index, which is a measure of local dependence amongst the exceedances over a high threshold by a stationary sequence, has a natural interpretation as the reciprocal of mean cluster size, A counterexample is exhibited which shows that this interpretation is not necessarily correct. Keywords Poisson density function Point processes Stochastic processes.
- Statistics and Probability