A New Dependence Condition for Time Series and the Extremal Index of Higher-Order Markov Chains
We present a new dependence condition for time series and extend the extremal types theorem. The dependence structure of a stationary sequence is described by a sequence of extremal functions. Under a stability condition for the sequence of extremal functions, we obtain the asymptotic distribution...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2006-06-01
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| Series: | Revstat Statistical Journal |
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| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/32 |