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Short Communications
Tail dependence under sample failures
M. Ferreiraabc, H. Ferreirad a Center of Mathematics of Minho University
b Center for Computational and Stochastic Mathematics of University of Lisbon
c Center of Statistics and Applications of University of Lisbon, Portugal
d Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Covilhã, Portugal
Abstract:
When collecting samples, sometimes failures of observations occur and
consequently missing data. This can have an impact on the analysis and
subsequent inference, especially if the study focuses on the extreme values
where the data is more scarce. In this work, we analyze the effect of
different types of failures on the dependence within the tail of a stationary
series. We will also present some examples.
Keywords:
theory of extreme values, stationary sequence,
dependence on extreme values, asymptotic independence of extreme values.
Received: 03.01.2018 Revised: 11.07.2018 Accepted: 13.12.2018
Citation:
M. Ferreira, H. Ferreira, “Tail dependence under sample failures”, Teor. Veroyatnost. i Primenen., 64:4 (2019), 798–810; Theory Probab. Appl., 64:4 (2020), 636–645
Linking options:
https://www.mathnet.ru/eng/tvp5206https://doi.org/10.4213/tvp5206 https://www.mathnet.ru/eng/tvp/v64/i4/p798
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Statistics & downloads: |
Abstract page: | 263 | Full-text PDF : | 26 | References: | 22 | First page: | 6 |
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