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Uniform estimator of the extremal index of stochastic recurrent sequences
Authors:A. A. Goldaeva
Affiliation:1. Faculty of Mechanics and Mathematics, Moscow State University, Leninskie Gory, Moscow, 119991, Russia
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 (at deterministic or random moments of time) of a continuous time process given by a stochastic differential equation.
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