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Extreme values of non-stationary random sequences

Published online by Cambridge University Press:  24 August 2016

Jürg Hüsler
Jürg Hüsler*
Affiliation:
University of Bern
*
∗ Postal address: Universität Bern, Institut für Mathematische Statistik und Versicherungslehre, Sidlerstrasse 5, CH-3012 Bern, Switzerland.
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Abstract

We extend some results of the extreme-value theory of stationary random sequences to non-stationary random sequences. The extremal index, defined in the stationary case, plays a similar role in the extended case. The details show that this index describes not only the behaviour of exceedances above a high level but also above a non-constant high boundary.

Keywords

EXTREMAL INDEXEXCEEDANCE

Information

Type
Research Paper
Information
Journal of Applied Probability , Volume 23 , Issue 4 , December 1986, pp. 937 - 950
Copyright
Copyright © Applied Probability Trust 1986 

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Footnotes

Part of this research was done while the author was at the Center for Stochastic Processes at Chapel Hill. The author wishes to express his gratitude for the financial support and the hospitality.

References

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