Abstract
We investigate maxima in incomplete samples from strictly stationary random sequences defined as linear models of i.i.d. random variables with heavy-tailed innovations that satisfy the tail balance condition. Using the point process approach we obtain limit theorems for the sequence of random vectors whose components are properly normalized maxima in complete and incomplete samples.
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Acknowledgments
The authors would like to thank the anonymous referee and the Associate editor for the careful reading of the manuscript and for the suggestions that led to an improvement of the presentation.
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Research supported by the Ministry of Education, Science and Technological Development, Republic of Serbia, Grant No. 174012.
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Glavaš, L., Mladenović, P. Extreme values of linear processes with heavy-tailed innovations and missing observations. Extremes 23, 547–567 (2020). https://doi.org/10.1007/s10687-020-00390-3
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DOI: https://doi.org/10.1007/s10687-020-00390-3
Keywords
- Extreme values
- Heavy-tailed innovations
- Linear processes
- Missing observations
- Partial maxima
- Point processes