Bounds for the extremal index of stochastic recurrent sequences

DOI10.1134/S0001434615090047zbMath1360.60098MaRDI QIDQ276636

Anna A. Goldaeva

Publication date: 4 May 2016

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

Jensen inequalitylognormal distributionextremal index of a stochastic sequencemarginal distributionstochastic recurrent sequencetail index of a stochastic sequence

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

On extremal indices greater than one for a scheme of series

Cites Work

• Uniform estimator of the extremal index of stochastic recurrent sequences
• Extremes and related properties of random sequences and processes
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Extremal behavior of recurrent random sequences
• Usage of processes with continuous time in the study of stochastic recurrent sequences
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables

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