Uniform estimate of extremal index of stochastic recurrent sequences / A. A. Goldaeva. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2012. № 2. P. 51-55 [Moscow Univ. Math. Bulletin. Vol. 72, N 2, 2017. P. 0].
A uniform upper bound of the extremal index of some stochastic recurrent sequences is obtained in the paper. We used a new approach consisting in the consideration of sequences of observations (in deterministic or random moments of time) of a continuous time process given by a stochastic differential equation.
Key words: extremal index, tail index, stochastic difference equations, stochastic differential equations.