This article is cited in 1 paper

Bounds for the Extremal Index of Stochastic Recurrent Sequences

A. A. Goldaeva

Lomonosov Moscow State University

Abstract: The paper is devoted to the study of the extremal index for some stochastic recurrent sequences and to the derivation of bounds for the cases in which it is impossible to express the extremal index in explicit form.

Keywords: stochastic recurrent sequence, extremal index of a stochastic sequence, marginal distribution, tail index of a stochastic sequence, lognormal distribution, Jensen's inequality.

Received: 31.01.2013
Revised: 02.10.2013

DOI: 10.4213/mzm10179

 English version: Mathematical Notes, 2015, 98:3, 392–398

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