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A counterexample concerning the extremal index

Published online by Cambridge University Press:  01 July 2016

Richard L. Smith
Richard L. Smith*
Affiliation:
University of Surrey
*
∗Postal address: Department of Mathematics, University of Surrey, Guildford, GU2 5XH, UK.
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Abstract

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The concept of an extremal index, which is a measure of local dependence amongst the exceedances over a high threshold by a stationary sequence, has a natural interpretation as the reciprocal of mean cluster size. We exhibit a counterexample which shows that this interpretation is not necessarily correct.

Type
Letters to the Editor
Information
Advances in Applied Probability , Volume 20 , Issue 3 , September 1988 , pp. 681 - 683
Copyright
Copyright © Applied Probability Trust 1988 

Footnotes

Supported by Air Force Office of Scientific Research at University of North Carolina; Grant Number F 49620 85C 0144.

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