40210

Автор(ов): 

1

Параметры публикации
Тип публикации: 
Статья в журнале/сборнике
Название: 
CLUSTERS OF EXTREMES: MODELING AND EXAMPLES
ISBN/ISSN: 
1386-1999
DOI: 
10.1007/s10687-017-0285-5
Наименование источника: 
Extremes
Обозначение и номер тома: 
20 выпуск 3
Город: 
Гейдельберг
Издательство: 
Springer
Год издания: 
2017
Страницы: 
519–538
Аннотация
We study clusters of threshold exceedances caused by dependence in time series. The clusters are defined as conglomerates containing consecutive threshold exceedances of the series separated by return intervals with consecutive non-exceedances. We derive asymptotic distributions of the cluster and inter-cluster sizes for processes with the extremal index equal to zero, the asymptotic expectation of the inter-cluster size and an exponential rate of convergence of the distribution tail of the return interval between clusters to the stable distribution tail. Distributions of the cluster and inter-cluster sizes of ARMAX, MM and AR(1) processes are obtained.
Библиографическая ссылка: 
Маркович Н.М. CLUSTERS OF EXTREMES: MODELING AND EXAMPLES // Extremes. 2017. 20 выпуск 3. С. 519–538.