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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2012 Number 1, Pages 12–17 (Mi vmumm459)

This article is cited in 1 paper

Mathematics

The Poisson limit theorem for high extrema of a time series with seasonal component and monotone trend

I. V. Rodionov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: In this paper we consider Poisson's limit theorem for high extrema of a stationary time series with a monotone trend and an almost periodic component. It is assumed that the distribution function of the time series is maximum stable and the time series satisfies the weak dependence condition. The limit behavior of the random process of high extrema for this model is considered for the first time.

Key words: random process, high extremum, maximum stability, stationarity, weak dependence, Poisson's limit theorem.

UDC: 519.27

Received: 08.11.2010


 English version:
Moscow University Mathematics Bulletin, Moscow University Måchanics Bulletin, 2012, 67:1, 11–15

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