Accession Number : ADA190325

Title :   Extreme Value for Dependent Sequences Via the Stein-Chen Method of Poisson Approximation.

Descriptive Note : Technical rept.,

Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s) : Smith, Richard L

PDF Url : ADA190325

Report Date : Oct 1987

Pagination or Media Count : 19

Abstract : In 1970 Stein introduced a new method for bounding the approximation error in central limit theory for dependent variables. This was subsequently developed by Chen for Poisson approximation and has proved very successful in the areas to which it has been applied. Here this document shows how the method can be applied to extreme value theory for dependent sequences, focussing particularly on the nonstationary case. The method gives new and shorter proofs of some known results, with explicit bounds for the approximation error. Keywords Stocastic process; Random variables.

Descriptors :   *POISSON DENSITY FUNCTIONS, *APPROXIMATION(MATHEMATICS), *RANGE(EXTREMES), ERRORS, POISSON DENSITY FUNCTIONS, SEQUENCES, STOCHASTIC PROCESSES, RANDOM VARIABLES, VALUE

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE