Extremal analysis of processes sampled at different frequencies

• 成果类型: Article
• 署名作者: Robinson, ME; Tawn, JA
• 署名单位: Lancaster University; University of Surrey
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/1467-9868.00223
• 发表日期: 2000
• 页码: 117-135
• 关键词: stationary-sequences; models; exceedances; dependence; index

摘要

The observed extremes of a discrete time process depend on the process itself and the sampling frequency. We develop theoretical results which show how to account for the effect of sampling frequency on extreme values, thus enabling us to analyse systematically extremal data from series with different sampling rates. We present statistical methodology based on these results which we illustrate though simulations and by applications to sea-waves and rainfall data.