Extremes of some sub-sampled time series

Journal of Time Series Analysis

Volumn 24, Issue 5, 2003, Pages 579-590

  Scotto, M G ^a   Turkman, K F ^b   Anderson, C W ^c  

^a UNIVERSITY OF AVEIRO   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

^c UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

Extreme values; Extrernal index; Linear Processes; Point processes

Indexed keywords

EID: 0013268107     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.t01-1-00320     Document Type: Article

References (13)

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7. _ (1987) Extreme Values, Point Processes and Regular Variation. New York: Springer-Verlag.
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9. ROOTZEN, H. (1986) Extreme value theory for moving average processes. Ann. Probab. 6, 847-69.
10. _ (1987) A ratio limit theorem for the tail of weighted sums. Ann. Probab. 15, 728-47.
11. SCOTTO, M. (2001) On the extremes of certain transformations of time series. PhD theses, University of Lisbon, Portugal.
12. _ and TURKMAN, K. F. (1999) Extremes of sub-sampled bilinear time series models. Technical research report, CEAUL-University of Lisbon, 5/99.
13. ANDERSON, C. W. and TURKMAN, K. F. (1999) Extremes of sub-sampled time series. Technical research report, CEAUL-University of Lisbon, 3/99.