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

Authors

  • H. Ferreira University of Beira Interior
  • A.P. Martins University of Beira Interior

DOI:

https://doi.org/10.57805/revstat.v1i1.3

Keywords:

sub-sampling, periodic sequences, extremal index, extreme values

Abstract

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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Published

2003-11-30

How to Cite

Ferreira, H. ., & Martins, A. (2003). The Extremal Index of Sub-Sampled Periodic Sequences with Strong Local Dependence. REVSTAT-Statistical Journal, 1(1), 15–24. https://doi.org/10.57805/revstat.v1i1.3