Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2012, Number 2, Pages 51–55 (Mi vmumm481)  
This article is cited in 3 scientific papers (total in 3 papers)

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Uniform estimator of the extremal index of stochastic recurrent sequences

A. A. Goldaeva

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (270 kB) Citations (3)
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Abstract: A uniform upper bound of the extremal index of some stochastic recurrent sequences is obtained in the paper. We used a new approach consisting in the consideration of sequences of observations (in deterministic or random moments of time) of a continuous time process given by a stochastic differential equation.
Key words: extremal index, tail index, stochastic difference equations, stochastic differential equations.
Funding agency Grant number
Russian Foundation for Basic Research 11-01-00050
Received: 09.02.2011
English version:
Moscow University Mathematics Bulletin, 2012, Volume 67, Issue 2, Pages 82–85
DOI: https://doi.org/10.3103/S002713221202009X
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: A. A. Goldaeva, “Uniform estimator of the extremal index of stochastic recurrent sequences”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2012, no. 2, 51–55; Moscow University Mathematics Bulletin, 67:2 (2012), 82–85
Citation in format AMSBIB
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\jour Moscow University Mathematics Bulletin
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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