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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2019 Volume 64, Issue 4, Pages 798–810 (Mi tvp5206)

Short Communications

Tail dependence under sample failures

M. Ferreiraabc, H. Ferreirad

a Center of Mathematics of Minho University
b Center for Computational and Stochastic Mathematics of University of Lisbon
c Center of Statistics and Applications of University of Lisbon, Portugal
d Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Covilhã, Portugal

Abstract: When collecting samples, sometimes failures of observations occur and consequently missing data. This can have an impact on the analysis and subsequent inference, especially if the study focuses on the extreme values where the data is more scarce. In this work, we analyze the effect of different types of failures on the dependence within the tail of a stationary series. We will also present some examples.

Keywords: theory of extreme values, stationary sequence, dependence on extreme values, asymptotic independence of extreme values.

Received: 03.01.2018
Revised: 11.07.2018
Accepted: 13.12.2018

DOI: 10.4213/tvp5206


 English version:
Theory of Probability and its Applications, 2020, 64:4, 636–645

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