论文标题
停止时钟模型
The stopped clock model
论文作者
论文摘要
极端价值理论提出了用于建模和预测极端现象的特定工具。特别是，通常通过尾巴依赖性和高价值聚类的措施来分析风险评估。尽管技术进步允许越来越大，更有效的数据收集，但记录中有时会出现故障，这会导致统计推断的困难，尤其是在数据稀少的尾巴中。在本文中，我们介绍了一个模型，具有简单而直观的失败方案，其中每个记录失败都被最后可用的记录所取代。我们将研究其在局部依赖性和高价值聚类以及对尾巴的时间依赖性方面的极端行为。
The extreme values theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological advances allowing an increasingly larger and more efficient data collection, there are sometimes failures in the records, which causes difficulties in statistical inference, especially in the tail where data are scarcer. In this article we present a model with a simple and intuitive failures scheme, where each record failure is replaced by the last record available. We will study its extremal behavior with regard to local dependence and high values clustering, as well as the temporal dependence on the tail.
