Introduction to the Non-IID Case

Michael Falk (), Jürg Hüsler () and Rolf-Dieter Reiss ()
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Michael Falk: University of Würzburg, Institute of Mathematics
Jürg Hüsler: University of Berne, Department of Mathematical Statistics and Actuarial Science
Rolf-Dieter Reiss: University of Siegen, Department of Mathematics

Chapter Chapter 8 in Laws of Small Numbers: Extremes and Rare Events, 2011, pp 343-356 from Springer

Abstract: Abstract We present in the following some examples to motivate the extension of the classical extreme value theory for iid sequences to a theory for non-iid sequences. We introduce different classes of non-iid sequences together with the main ideas. The examples show that suitable restrictions for each class are needed to find limit results which are useful for applications.

Keywords: Random Sequence; Limit Distribution; Discrete Random Variable; Triangular Array; Poisson Approximation (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-0009-9_8

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DOI: 10.1007/978-3-0348-0009-9_8

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