Asymptotic analysis of extremes from autoregressive negative binomial processes

DOI10.2307/3214723MaRDI QIDQ4031664zbMATH OpenOpenAlexFDO

Authors Yousung Park, W. P. McCormick

Publication date 1 April 1993

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214723

zbMATH Keywords

extreme value limiting distributiongeometric autoregressive moving average processmixing conditionsnegative binomial first order autoregressionsmall sample simulation study

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

The authors extend the work of \textit{C. W. Anderson} [J. Appl. Probab. 7, 99--113 (1970; Zbl 0192.54202)] on the asymptotic behaviour of the maximum of a sequence of discrete random variates. They consider the negative binomial first order autoregression and the geometric autoregressive moving average process of the reviewer [Adv. Appl. Probab. 18, 679--705 (1986; Zbl 0603.62100)]. By establishing the validity of certain mixing conditions they show that the maximum of such processes can be bounded in the same way as that of an i.i.d. sequence. The results of a small sample simulation study are described.

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Cited in

(12)

• On the max-semistable limit of maxima of stationary sequences with missing values
• Extremes of integer-valued moving average models with exponential type tails
• A note on the extremes of a particular moving average count data model
• The distribution of the maximum of a first-order moving average: the discrete case
• On the maximum of periodic integer-valued sequences with exponential type tails via max-semistable laws
• Regeneration-based bootstrap for Markov chains
• Maximum term of a particular autoregressivesequence with discrete margins
• Thinning-based models in the analysis of integer-valued time series: a review
• On the Maximum Term of MA and Max-AR Models with Margins in Anderson's Class
• Maximal number of successors in a NGINAR(1) process
• Extremes of integer-valued moving average sequences
• The distribution of the maximum of a first order autoregressive process: The continuous case

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