The stopped clock model

Dependence Modeling

Ferreira Marta¹  Ferreira Helena² 

[1] Centro de Matemática e Departamento de Matemática, Universidade do Minho, CEMAT, Instituto Superior Técnico, Universidade de Lisboa, Lisboa, Portugal;Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Departamento de Matemática, Avenida Marquês d’Avila e Bolama, 6200-001 Covilhã, Portugal;

关键词: extreme values;    stationary sequences;    failures model;    extremal index;    tail dependence coefficient;    60g70;   

DOI  :  10.1515/demo-2022-0101

来源: DOAJ

【 摘 要 】

The extreme value theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological advances allowing an increasingly larger and more efficient data collection, there are sometimes failures in the records, which causes difficulties in statistical inference, especially in the tail where data are scarcer. In this article, we present a model with a simple and intuitive failures scheme, where each record failure is replaced by the last record available. We will study its extremal behavior with regard to local dependence and high values clustering, as well as the temporal dependence on the tail.

【 授权许可】

Unknown