Asymptotic analysis of extremes from autoregressive negative binomial processes (Q4031664)
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scientific article; zbMATH DE number 150510
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| English | Asymptotic analysis of extremes from autoregressive negative binomial processes |
scientific article; zbMATH DE number 150510 |
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Asymptotic analysis of extremes from autoregressive negative binomial processes (English)
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1 April 1993
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extreme value limiting distribution
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negative binomial first order autoregression
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geometric autoregressive moving average process
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mixing conditions
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small sample simulation study
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0.7878417372703552
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0.7781834006309509
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0.7757513523101807
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0.7704643607139587
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0.768108069896698
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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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