Journal
THEORY OF PROBABILITY AND ITS APPLICATIONS
Volume 64, Issue 4, Pages 636-645Publisher
SIAM PUBLICATIONS
DOI: 10.1137/S0040585X97T989751
Keywords
theory of extreme values; stationary sequence; dependence on extreme values; asymptotic independence of extreme values
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Funding
- Portuguese Funds through FCT - Fundacao para a Ciencia e a Tecnologia [UID/MAT/00013/2013, UID/Multi/04621/2019, PTDC/MAT-STA/28243/2017, UID/MAT/00006/2019]
- FCT (Fundacao para a Ciencia e a Tecnologia) [UID/MAT/00212/2019]
- Fundação para a Ciência e a Tecnologia [UID/MAT/00212/2019, PTDC/MAT-STA/28243/2017, UID/MAT/00013/2013] Funding Source: FCT
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When collecting samples, sometimes failures of observations occur and consequently missing data. This can have an impact on the analysis and subsequent inference, especially if the study focuses on the extreme values where the data is more scarce. In this work, we analyze the effect of different types of failures on the dependence within the tail of a stationary series. We will also present some examples.
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