25606

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Доклад

Название: 

Moments of cluster characteristics of time series

ISBN/ISSN: 

ISBN: 978-989-733-023-0

Наименование конференции: 

  • Workshop Extremes in Vimeiro Today (EVT 2013) – in honour of Ivette Gomes, 2013, Vimeiro, Portugal

Наименование источника: 

  • Proceedings of the Workshop Extremes in Vimeiro Today (EVT 2013) – in honour of Ivette Gomes, 8-11 September 2013, Vimeiro, Portugal

Город: 

  • Vimeiro

Издательство: 

  • Instituto Nacional de Estatistica

Год издания: 

2013

Страницы: 

96-101
Аннотация
We deal with clusters of exceedances of the underlying process $\{R_n\}$ over a threshold which are caused by dependence in time series. The asymptotically equal geometric distributions of cluster and inter-cluster sizes and the first moment of the cluster size are derived in Markovich (2013). The threshold is taken equal to a high quantile of $\{R_n\}$. The latter inferences are extended and asymptotic first two moments of both cluster characteristics are obtained.

Библиографическая ссылка: 

Маркович Н.М. Moments of cluster characteristics of time series / Proceedings of the Workshop Extremes in Vimeiro Today (EVT 2013) – in honour of Ivette Gomes, 8-11 September 2013, Vimeiro, Portugal. Vimeiro: Instituto Nacional de Estatistica, 2013. С. 96-101.