The extremal analysis of processes sampled at different frequencies.

Robinson, M. E. and Tawn, J. A. (2000) The extremal analysis of processes sampled at different frequencies. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 62 (1). pp. 117-135. ISSN 1369-7412

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.