RUS  ENG
Full version
JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2022 Number 1, Pages 3–8 (Mi vmumm4444)

Mathematics

The possibility of existence of extremal indices exceeding one

A. V. Lebedev

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The classical extremal index is an important characteristic of the asymptotic behavior of maxima in stationary random sequences. However, in practice, there is also a need to study maxima on more complex structures than the natural numbers set. This paper continues the cycle devoted to the author's generalization of the extremal index to a random-length series scheme, which allows working with a wider class of stochastic structures. For cases where an exact extremal index does not exist, partial indices were previously introduced. Unlike the classical extremal index, they can take values greater than one (which corresponds to a negative dependence of random variables). The question is whether an exact extremal index greater than one is possible remains open. In this paper, this question is partially closed (the impossibility is proved under certain conditions).

Key words: extremal index, scheme of series, stable distributions, heavy tails, maxima, copula.

UDC: 519.21

Received: 21.02.2020
Revised: 26.11.2021


 English version:
Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2022, 77:1, 1–6

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2024