Phantom distribution functions for some stationary sequences
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| 024 | 7 | 0 | |a 10.1007/s10687-015-0228-y |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-015-0228-y | ||
| 245 | 0 | 0 | |a Phantom distribution functions for some stationary sequences |h [Elektronische Daten] |c [Paul Doukhan, Adam Jakubowski, Gabriel Lang] |
| 520 | 3 | |a The notion of a phantom distribution function (phdf) was introduced by O'Brien (Ann. Probab. 15, 281-292 (1987)). We show that the existence of a phdf is a quite common phenomenon for stationary weakly dependent sequences. It is proved that any α-mixing stationary sequence with continuous marginals admits a continuous phdf. Sufficient conditions are given for stationary sequences exhibiting weak dependence, what allows the use of attractive models beyond mixing. The case of discontinuous marginals is also discussed for α-mixing. Special attention is paid to examples of processes which admit a continuous phantom distribution function while their extremal index is zero. We show that Asmussen (Ann. Appl. Probab. 8, 354-374 1998) and Roberts et al. (Extremes. 9, 213-229 2006) provide natural examples of such processes. We also construct a non-ergodic stationary process of this type. | |
| 540 | |a The Author(s), 2015 | ||
| 690 | 7 | |a Strictly stationary processes |2 nationallicence | |
| 690 | 7 | |a Extremes |2 nationallicence | |
| 690 | 7 | |a Extremal index |2 nationallicence | |
| 690 | 7 | |a Phantom distribution function |2 nationallicence | |
| 690 | 7 | |a α -mixing |2 nationallicence | |
| 690 | 7 | |a Weak dependence |2 nationallicence | |
| 690 | 7 | |a Lindley's process |2 nationallicence | |
| 690 | 7 | |a Random walk Metropolis algorithm |2 nationallicence | |
| 700 | 1 | |a Doukhan |D Paul |u Université de Cergy-Pontoise and Institut Universitaire de France, UMR 8088 Analyse, Géométrie et Modélisation, 2, av. Adolphe Chauvin, 95302, Cergy-Pontoise CEDEX, France |4 aut | |
| 700 | 1 | |a Jakubowski |D Adam |u Nicolaus Copernicus University, Faculty of Mathematics and Computer Science, ul. Chopina 12/18, 87-100, Toruń, Poland |4 aut | |
| 700 | 1 | |a Lang |D Gabriel |u AgroParisTech, UMR 518 Mathématique et Informatique appliquées, 19 avenue du Maine, 75732, Paris CEDEX 15, France |4 aut | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 697-725 |x 1386-1999 |q 18:4<697 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-015-0228-y |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-015-0228-y |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Doukhan |D Paul |u Université de Cergy-Pontoise and Institut Universitaire de France, UMR 8088 Analyse, Géométrie et Modélisation, 2, av. Adolphe Chauvin, 95302, Cergy-Pontoise CEDEX, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Jakubowski |D Adam |u Nicolaus Copernicus University, Faculty of Mathematics and Computer Science, ul. Chopina 12/18, 87-100, Toruń, Poland |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Lang |D Gabriel |u AgroParisTech, UMR 518 Mathématique et Informatique appliquées, 19 avenue du Maine, 75732, Paris CEDEX 15, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 697-725 |x 1386-1999 |q 18:4<697 |1 2015 |2 18 |o 10687 | ||