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Calculating the extremal index for a class of stationary sequences

  • Michael R. Chernick (a1), Tailen Hsing (a2) and William P. McCormick (a3)

A local mixing condition D (k) is introduced for stationary sequences satisfying Leadbetter's condition D. Under the local mixing condition, the asymptotic distribution of the sample maximum can be calculated with the knowledge of the joint distribution of k consecutive terms. Some examples are given to illustrate the notion.

Corresponding author
Present address: Risk Data Corporation, Two Venture Plaza, Suite 400, Irvine, CA 92718-3331, USA.
∗∗ Postal address: Department of Statistics, Texas A & M University, College Station, TX 77843-3143, USA.
∗∗∗ Postal address: Department of Statistics, University of Georgia, Athens, GA 30602, USA.
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Research supported by NSF Grant 8814006.

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Advances in Applied Probability
  • ISSN: 0001-8678
  • EISSN: 1475-6064
  • URL: /core/journals/advances-in-applied-probability
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