The Extremal Index of Sub-Sampled Periodic Sequences with Strong Local Dependence
Autor: | H. Ferreira, A.P. Martins |
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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. |
Databáze: | Directory of Open Access Journals |
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