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Clustering indices and decay of correlations in non-Markovian models. (arXiv:1810.03216v1 [math.PR])

来源于:arXiv
When there is no independence, abnormal observations may have a tendency to appear in clusters instead of scattered along the time frame. Identifying clusters and estimating their size are important problems arising in statistics of extremes or in the study of quantitative recurrence for dynamical systems. In the classical literature, the Extremal Index appears associated to the cluster size and, in fact, it is usually interpreted as the reciprocal of the mean cluster size. This quantity involves a passage to the limit and in some special cases this interpretation fails due to an escape of mass when computing the limiting point processes. Smith \cite{S88} introduced a regenerative process exhibiting such disagreement. Very recently, in \cite{AFF18} the authors used a dynamical mechanism to emulate the same inadequacy of the usual interpretation of the Extremal Index. Here, we consider a general regenerative process that includes Smith's model and show that it is important to consider f 查看全文>>