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Teoriya Veroyatnostei i ee Primeneniya, 2019, Volume 64, Issue 4, Pages 798–810
DOI: https://doi.org/10.4213/tvp5206 (Mi tvp5206) 		 
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
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DOI: https://doi.org/10.4213/tvp5206
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.
Funding agency Grant number
Fundação para a Ciência e a Tecnologia UID/MAT/00013/2013
UID/Multi/04621/2019
UID/MAT/00006/2019
PTDC/MAT-STA/28243/2017
UID/MAT/00212/2019
The first author was supported by Portuguese Funds through FCT — Fundação para a Ciência e a Tecnologia within the Projects UID/MAT/00013/2013 of Centre of Mathematics of the University of Minho, UID/Multi/04621/2019 of Center for Computational and Stochastic Mathematics, UID/MAT/00006/2019 of Centre of Statistics and Its Applications, and PTDC/MAT-STA/28243/2017. The second author was partially supported by the research unit UID/MAT/00212/2019 — FCT (Fundação para a Ciência e a Tecnologia).
Received: 03.01.2018
Revised: 11.07.2018
Accepted: 13.12.2018
English version:
Theory of Probability and its Applications, 2020, Volume 64, Issue 4, Pages 636–645
DOI: https://doi.org/10.1137/S0040585X97T989751
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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\paper Tail dependence under sample failures
\jour Teor. Veroyatnost. i Primenen.
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\issue 4
\pages 798--810
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\jour Theory Probab. Appl.
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