Extremes of integer-valued moving average models with regularly varying tails

DOI10.1023/A:1015297421238zbMath1053.62064OpenAlexW69530758MaRDI QIDQ1887252

Andreia Hall

Publication date: 24 November 2004

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1015297421238

zbMATH Keywords

extremal indexbinomial thinninginteger-valued stationary sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Parameter estimation and diagnostic tests for INMA(1) processes ⋮ Extremes of integer-valued moving average sequences ⋮ On the maximum of periodic integer-valued sequences with exponential type tails via max-semistable laws ⋮ Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations. ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ Extremes of integer-valued moving average models with exponential type tails ⋮ On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails ⋮ The max-INAR(1) model for count processes ⋮ The distribution of the maximum of a first-order moving average: The discrete casex ⋮ Thinning-based models in the analysis of integer-valued time series: a review ⋮ On the extremes of the max-INAR(1) process for time series of counts

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