Extreme values of non-stationary random sequences
- 1 December 1986
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 23 (4) , 937-950
- https://doi.org/10.2307/3214467
Abstract
We extend some results of the extreme-value theory of stationary random sequences to non-stationary random sequences. The extremal index, defined in the stationary case, plays a similar role in the extended case. The details show that this index describes not only the behaviour of exceedances above a high level but also above a non-constant high boundary.Keywords
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