Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations

A. Hall and M. G. Scotto

Statistics & Probability Letters, 2003, vol. 63, issue 1, 97-105

Abstract: Let {Xk} be a non-negative integer-valued stationary moving average sequence and define Yk=XTk as the sub-sampled series at a fixed integer interval T>1. We look at the limiting distribution of sample maxima of {Yk} and the corresponding extremal index.

Keywords: Integer-valued; stationary; sequences; Sub-sampling; Extremal; index; Binomial; thinning (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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