Segers, Johan (Tilburg University, Center for Economic Research)
Abstract
Classical extreme-value theory for stationary sequences of random variables can up to a large extent be paraphrased as the study of exceedances over a high threshold. A special role within the description of the temporal dependence between such exceedances is played by the extremal index. Parts of this theory can be generalized not only to random variables on an arbitrary state space hitting certain failure sets but even to a triangular array of rare events on an abstract probability space. In the case of M4 processes, or maxima of multivariate moving maxima, the arguments take a simple and direct form.
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Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number
7.
Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
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