The Extremal Index of Sub-Sampled Periodic Sequences with Strong Local Dependence

Autor: H. Ferreira, A.P. Martins
Jazyk: angličtina
Rok vydání: 2003
Předmět:
Zdroj: Revstat Statistical Journal, Vol 1, Iss 1 (2003)
Druh dokumentu: article
ISSN: 1645-6726
2183-0371
DOI: 10.57805/revstat.v1i1.3
Popis: Let X = {Xn}n≥1 be a T-periodic sequence. We define a family of local dependence conditions D (k) T (u), k ≥ 1, and calculate the extremal index θX from the distributions of k consecutive variables of X. For a periodic sub-sampled sequence Y = {Xg(n)}n≥1, where g generates blocks of I1 observations separated by J observations, we present results on local and long range dependence conditions and compute the extremal index θY.
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