The estimation of M4 processes with geometric moving patterns

DOI10.1007/s10463-006-0078-0zbMath1184.62147OpenAlexW2095572516MaRDI QIDQ1039831

Zhengjun Zhang

Publication date: 23 November 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0078-0

zbMATH Keywords

parameter estimationextreme value theoryempirical distributionmax-stable processmultivariate maxima of moving maximamultivariate nonlinear time series

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures, Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’, Extremes of multivariate ARMAX processes, On approximating max-stable processes and constructing extremal copula functions, Maxima of moving maxima of continuous functions

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