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Extreme value theory for multivariate stationary sequences

Authors :
Tailen Hsing
Source :
Journal of Multivariate Analysis. (2):274-291
Publisher :
Published by Elsevier Inc.

Abstract

A distributional mixing condition is introduced for stationary sequences of random vectors to study their extremes. For a sequence satisfying the condition, the following topics which concern the weak limit F of properly normalized partial maxima are studied: (1) To obtain characterizations of F. (2) To study a condition under which the partial maxima behave as they would if the sequence were i.i.d. (3) To consider problems in connection with the independence of the margins of F.

Details

Language :
English
ISSN :
0047259X
Issue :
2
Database :
OpenAIRE
Journal :
Journal of Multivariate Analysis
Accession number :
edsair.doi.dedup.....40132bdfea5d80b4745a6c6ef7b8bfc6
Full Text :
https://doi.org/10.1016/0047-259X(89)90028-6