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The extremal analysis of processes sampled at different frequencies.

Research output: Contribution to journalJournal article

Published

Journal publication date2000
JournalJournal of the Royal Statistical Society - Series B: Statistical Methodology
Journal number1
Volume62
Number of pages19
Pages117-135
Original languageEnglish

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.