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The extremal analysis of processes sampled at different frequencies.

Research output: Contribution to journalJournal article

Published

<mark>Journal publication date</mark>2000
<mark>Journal</mark>Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Issue1
Volume62
Number of pages19
Pages117-135
<mark>Original language</mark>English

Abstract

The observed extremes of a discrete time process depend on the process itself and the sampling frequency. We develop theoretical results which show how to account for the effect of sampling frequency on extreme values, thus enabling us to analyse systematically extremal data from series with different sampling rates. We present statistical methodology based on these results which we illustrate though simulations and by applications to sea-waves and rainfall data.