Modeling clusters of extreme values |
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Authors: | Natalia M Markovich |
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Institution: | 1. Institute of Control Sciences, Russian Academy of Sciences, Profsoyuznaya 65, 117997, Moscow, Russia
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Abstract: | In practice it is important to evaluate the impact of clusters of extreme observations caused by the dependence in time series. The clusters contain consecutive exceedances of time series over a threshold separated by return intervals with consecutive non-exceedances. We derive asymptotically equal distributions of the number of inter-arrival times between events of interest arising both between two consecutive exceedances of a stationary process $\{R_n:n\ge 1\}$ and between two consecutive non-exceedances. It is found that the distributions are geometric like and corrupted by the extremal index. It is derived that the limit distribution tail of the duration of clusters that is defined as a sum of the random number of the weakly dependent regularly varying inter-arrival times with tail index $0<\alpha <2$ is bounded by the tail of stable distribution. The inferences are valid when the threshold is taken as a sufficiently high quantile of the underlying process $\{R_{n}\}$ . |
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