منابع مشابه
Estimating the multivariate extremal index function
The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures the degree of clustering of extremes in the multivariate process. In this paper, we construct nonparametric estimators of this function and prove their asym...
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Convergence of a sequence of deterministic functions in the Skorohod topology d 0;? implies convergence of the jumps. For processes with independent additive increments the ®xed discontinuities converge. In this paper it will be shown that this is not true for processes with independent max-increments. The limit in d 0;? of a sequence of stochastically continuous extremal processes may ha...
متن کاملOn transformations of multivariate ARMA processes
Let Xt be an /-dimensional ARMA (p, q) process. Let g: U l -> W be a measurable function. Define a process Zt by Zt = g(Xt). Generally, Z.is not an ARMA process. However, we are interested in such functions g, for which Zt is also an AR process. It is important to know the orders of the process Zt. In the most cases we find only some bounds for them. From the practical point of view, our consid...
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There is an infinite number of parameters in the definition of multivariate maxima of moving maxima (M4) processes, which poses challenges in statistical applications where workable models are preferred. This paper establishes sufficient conditions under which an M4 process with infinite number of parameters may be approximated by an M4 process with finite number of parameters. In statistical i...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1993
ISSN: 0047-259X
DOI: 10.1006/jmva.1993.1057