Extremes of integer-valued moving average sequences |
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Authors: | Andreia Hall Manuel Scotto João Cruz |
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Affiliation: | (1) Department of Mathematics Education, Chungbuk National University, 12, Gaeshin-dong, Heungduk-ku, Cheongju, Chungbuk, 361-763, Republic of Korea;(2) Department of Mathematics and Telecommunication Mathematics Research Center, Korea University, 1, Anam-dong, Sungbuk-ku, Seoul, 136-701, Republic of Korea |
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Abstract: | This paper aims to analyze the extremal properties of integer-valued moving average sequences obtained as discrete analogues
of conventional moving averages replacing scalar multiplication by binomial thinning. In particular, we consider the case
in which the scalar coefficients are replaced by random coefficients since in real applications the thinning probabilities
may depend on several factors changing in time. Furthermore, the extremal behavior of periodic integer-valued moving average
sequences is also considered. In this case, we find that, when assessing their clustering tendency of high-threshold exceedances,
the extremal index is the same as for the stationary case. |
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