On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences

DOI10.1016/j.spa.2006.05.009zbMath1118.60047OpenAlexW2072489256MaRDI QIDQ860710

Pavle Mladenović, Vladimir I. Piterbarg

Publication date: 9 January 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.05.009

zbMATH Keywords

extreme valuesmissing observationsstationary sequencesstorage processweak dependency

Mathematics Subject Classification ID

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

Related Items (24)

ALMOST SURE CENTRAL LIMIT THEOREMS OF THE PARTIAL SUMS AND MAXIMA FROM COMPLETE AND INCOMPLETE SAMPLES OF STATIONARY SEQUENCES ⋮ On the maxima and minima of complete and incomplete samples from nonstationary random fields ⋮ Uniform AR(1) Processes and Maxima on Partial Samples ⋮ The Poisson limit theorem for high extrema of a time series with seasonal component and monotone trend ⋮ Asymptotic distributions of maxima of complete and incomplete samples from multivariate stationary Gaussian sequences ⋮ On Piterbarg theorem for maxima of stationary Gaussian sequences ⋮ Asymptotic distributions of maxima of complete and incomplete samples from strongly dependent stationary Gaussian sequences ⋮ Extreme values of the uniform order 1 autoregressive processes and missing observations ⋮ Almost sure central limit theorems for the maxima of randomly chosen random variables ⋮ On the maxima of partial samples of random sequences with a pseudo-stationary trend ⋮ The maxima and sums of multivariate non-stationary Gaussian sequences ⋮ Some asymptotic results on extremes of incomplete samples ⋮ Limiting distributions and almost sure limit theorems for the normalized maxima of complete and incomplete samples from Gaussian sequence ⋮ Limit distribution of maxima of strongly dependent Gaussian vector sequences under complete and incomplete samples ⋮ Almost sure limit theorems of extremes of complete and incomplete samples of stationary sequences ⋮ On almost sure max-limit theorems of complete and incomplete samples from stationary sequences ⋮ On maxima of partial samples in Gaussian sequences with pseudo-stationary trends ⋮ The asymptotic behaviour of maxima of complete and incomplete samples from stationary sequences ⋮ Extreme values of linear processes with heavy-tailed innovations and missing observations ⋮ Maxima and minima of complete and incomplete stationary sequences ⋮ Maximum of a partial sample in the uniform AR(1) processes ⋮ Exceedances point processes in the plane of stationary Gaussian sequences with data missing ⋮ On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring ⋮ Extremes of scale mixtures of multivariate time series

Cites Work

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• Extremes and related properties of random sequences and processes
• Large deviations of a storage process with fractional Brownian motion as input
• On overload in a storage model, with a self-similar and infinitely divisible input.
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Discrete and continuous time extremes of Gaussian processes
• Sur la distribution limite du terme maximum d'une série aléatoire
• Extreme Values in Uniformly Mixing Stationary Stochastic Processes
• On extreme values in stationary sequences

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