The extremes of a triangular array of normal random variables
Hsing, Tailen ; Hüsler, Jürg ; Reiss, Rolf-Dieter
Ann. Appl. Probab., Tome 6 (1996) no. 1, p. 671-686 / Harvested from Project Euclid
Consider a triangular array of stationary normal random variables ${\xi_{n, i}, i \geq 0, n \geq 1)$ such that ${\xi_{n, i}, i \geq 0}$ is a stationary normal sequence for each $n \geq 1$. Let $\rho_{n, j} = \corr (\xi_{n, i}, \xi_{n, i + j})$. We show that if $(1 - \rho_{n,j}) \log n \to \delta_j \epsilon (0, \infty)$ as $n \to \infty$ for some j, then the locations where the extreme values occur cluster, and if $\rho_{n,j}$ tends to 0 fast enough as $j \to \infty$ for fixed n, then ${\xi_{n, i}, i \geq 0}$ satisfies a certain weak dependence condition. Under the two conditions, it is possible to speak about an index which measures the degree of clustering. In practice, this viewpoint can provide a better approximation of the distributions of the maxima of weakly dependent normal random variables than what is directly guided by the asymptotic theory of Berman.
Publié le : 1996-05-14
Classification:  Dependence,  extremal index,  time series,  weak convergence,  60F05,  60G10,  60G15
@article{1034968149,
     author = {Hsing, Tailen and H\"usler, J\"urg and Reiss, Rolf-Dieter},
     title = {The extremes of a triangular array of normal random
		 variables},
     journal = {Ann. Appl. Probab.},
     volume = {6},
     number = {1},
     year = {1996},
     pages = { 671-686},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1034968149}
}
Hsing, Tailen; Hüsler, Jürg; Reiss, Rolf-Dieter. The extremes of a triangular array of normal random
		 variables. Ann. Appl. Probab., Tome 6 (1996) no. 1, pp.  671-686. http://gdmltest.u-ga.fr/item/1034968149/