EXTREMAL INDICES AND CLUSTERS IN THE LINEAR RECURSIVE STOCHASTIC SEQUENCES

被引：1

作者：

Goldaeva, A. A. ^{[1
]}

机构：

[1] Moscow MV Lomonosov State Univ, Dept Mech & Math, Moscow 119899, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2014年 / 58卷 / 04期

关键词：

stochastic recurrent sequences extremal index; clusters of high level excesses; DIFFERENCE EQUATION;

D O I：

10.1137/S0040585X97986837

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is devoted to investigation of the extremal indices of some stochastic recurrent sequences, namely, to finding cases where the extremal index can be calculated explicitly, and proves continuous theorems for obtaining approximate values for the extremal index. The clusters of high level excesses are also studied.

引用

页码：689 / U210

页数：10

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