Rare Events, Temporal Dependence and the Extremal Index

J.J.J. Segers

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Abstract

AMS classifications: 60G70; 62G32;
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages30
Volume2006-7
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-7

Keywords

  • block maximum
  • exceedance
  • extremal index
  • failure set
  • mixing condition
  • M4 process
  • rare event
  • stationary sequence

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