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Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance


 
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1. Title Title of document Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance
 
2. Creator Author's name, affiliation, country Rafal Kulik; University of Ottawa
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) sample quantiles, linear processes, empirical processes, long range dependence, sums of extremes, trimmed sums
 
3. Subject Subject classification Primary 60F05; Secondary 60G70
 
4. Description Abstract In this paper we study the limiting behavior of sums of extreme values of long range dependent sequences defined as functionals of linear processes with finite variance. If the number of extremes in a sum is large enough, we obtain asymptotic normality, however, the scaling factor is relatively bigger than in the i.i.d case, meaning that the maximal terms have relatively smaller contribution to the whole sum. Also, it is possible for a particular choice of a model, that the scaling need not to depend on the tail index of the underlying marginal distribution, as it is well-known to be so in the i.i.d. situation. Furthermore, subordination may change the asymptotic properties of sums of extremes.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-06-12
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/510
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-510
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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