Extreme value theory for multivariate stationary sequences

Tailen Hsing

Journal of Multivariate Analysis, 1989, vol. 29, issue 2, 274-291

Abstract: A distributional mixing condition is introduced for stationary sequences of random vectors to study their extremes. For a sequence satisfying the condition, the following topics which concern the weak limit F of properly normalized partial maxima are studied: (1) To obtain characterizations of F. (2) To study a condition under which the partial maxima behave as they would if the sequence were i.i.d. (3) To consider problems in connection with the independence of the margins of F.

Keywords: extreme; values; stationary; sequences; weak; convergence (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (12)

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