کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156134 958804 2009 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Weak convergence of the tail empirical process for dependent sequences
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Weak convergence of the tail empirical process for dependent sequences
چکیده انگلیسی

This paper proves weak convergence in DD of the tail empirical process–the renormalized extreme tail of the empirical process–for a large class of stationary sequences. The conditions needed for convergence are (i) moment restrictions on the amount of clustering of extremes, (ii) restrictions on long range dependence (absolute regularity or strong mixing), and (iii) convergence of the covariance function. We further show how the limit process is changed if exceedances of a nonrandom level are replaced by exceedances of a high quantile of the observations. Weak convergence of the tail empirical process is one key to asymptotics for extreme value statistics and its wide range of applications, from geoscience to finance.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 2, February 2009, Pages 468–490
نویسندگان
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