Nonlinear prediction in max-autoregressive processes

DOI10.1134/S0001434609030328MaRDI QIDQ1033969zbMATH OpenOpenAlexFDO

Authors A. V. Lebedev

Publication date 10 November 2009

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0001434609030328

zbMATH Keywords

ARMA processrandom processmax-stablenonlinear predictionMARMA processmax-autoregressive processmax-linearsign and rank statisticsFréchet distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• Basic properties and prediction of max-ARMA processes
• Asymptotic distribution of maximal autoregressive process with weight tending to 1
• A note on maximum autoregressive processes of order one
• Statistical analysis of first-order MARMA processes
• Extremes and clustering of nonstationary max-AR(1) sequences

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Basic properties and prediction of max-ARMA processes

Cited in

(5)

• Asymptotic distribution of maximal autoregressive process with weight tending to 1
• Multivariate extremes of random scores of particles in branching processes with max-linear heredity
• Basic properties and prediction of max-ARMA processes
• Efficient prediction for linear and nonlinear autoregressive models
• Statistical analysis of first-order MARMA processes

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Nonlinear prediction in max-autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1033969)