Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/82596
Título: | The stopped clock model |
Autor(es): | Ferreira, Helena Ferreira, Marta Susana |
Palavras-chave: | Extreme values Stationary sequences Failures model Extremal index Tail dependence coefficient |
Data: | 2022 |
Editora: | De Gruyter |
Revista: | Dependence Modeling |
Resumo(s): | 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. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/82596 |
DOI: | 10.1515/demo-2022-0101 |
ISSN: | 2300-2298 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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SC-V1_final.pdf | 342,12 kB | Adobe PDF | Ver/Abrir |