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Extreme values of linear processes with heavy-tailed innovations and missing observations
Extremes ( IF 1.1 ) Pub Date : 2020-08-23 , DOI: 10.1007/s10687-020-00390-3
Lenka Glavaš , Pavle Mladenović

We investigate maxima in incomplete samples from strictly stationary random sequences defined as linear models of i.i.d. random variables with heavy-tailed innovations that satisfy the tail balance condition. Using the point process approach we obtain limit theorems for the sequence of random vectors whose components are properly normalized maxima in complete and incomplete samples.



中文翻译:

大量创新和缺少观测的线性过程的极值

我们调查严格固定随机序列的不完全样本中的最大值,该随机序列被定义为具有尾部平衡条件的重尾创新的iid随机变量的线性模型。使用点过程方法,我们获得了随机向量序列的极限定理,该向量的成分在完整和不完整样本中均已正确归一化最大值。

更新日期:2020-08-23
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