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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2022, Number 1, Pages 3–8
(Mi vmumm4444)
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Mathematics
The possibility of existence of extremal indices exceeding one
A. V. Lebedev Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
The classical extremal index is an important characteristic of the asymptotic behavior of maxima in stationary random sequences. However, in practice, there is also a need to study maxima on more complex structures than the natural numbers set. This paper continues the cycle devoted to the author's generalization of the extremal index to a random-length series scheme, which allows working with a wider class of stochastic structures. For cases where an exact extremal index does not exist, partial indices were previously introduced. Unlike the classical extremal index, they can take values greater than one (which corresponds to a negative dependence of random variables). The question is whether an exact extremal index greater than one is possible remains open. In this paper, this question is partially closed (the impossibility is proved under certain conditions).
Key words:
extremal index, scheme of series, stable distributions, heavy tails, maxima, copula.
Received: 21.02.2020 Revised: 26.11.2021
Citation:
A. V. Lebedev, “The possibility of existence of extremal indices exceeding one”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2022, no. 1, 3–8; Moscow University Mathematics Bulletin, 77:1 (2022), 1–6
Linking options:
https://www.mathnet.ru/eng/vmumm4444 https://www.mathnet.ru/eng/vmumm/y2022/i1/p3
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Abstract page: | 107 | Full-text PDF : | 19 | References: | 25 | First page: | 5 |
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