The Extremal Index for the AR(1) Process: Finite Size Considerations

Nicholas R Moloney

Nicholas Moloney

LML Resident Fellow

LML Resident Fellow Nicholas Moloney will be speaking at the SIAM Conference on Applications of Dynamical Systems on The Extremal Index for the AR(1) Process: Finite Size Considerations.

Abstract

I begin by discussing a few heuristic interpretations of the extremal index, namely (i) a measure of loss of iid degrees of freedom, (ii) the multiplicity of a compound Poisson point process, (iii) the sojourn time of an excursion. I then consider finite-size effects of the extremal index in the AR(1) process with Gaussian noise which, as the sample size goes to infinity, shows no clustering.

Location

Snowboard Ski and Summer Resort, Snowboard, Utah, USA

Date & Time

21st – 25th May 2017