The estimation of M4 processes with geometric moving patterns

DOI10.1007/s10463-006-0078-0zbMath1184.62147MaRDI 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 estimation; extreme value theory; empirical distribution; max-stable process; multivariate maxima of moving maxima; multivariate nonlinear time series

Mathematics Subject Classification ID

62M30: Inference from spatial processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

62G30: Order statistics; empirical distribution functions

62G32: Statistics of extreme values; tail inference

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Prediction of stationary max-stable processes
• Extremes and related properties of random sequences and processes
• Point processes and multivariate extreme values
• A spectral representation for max-stable processes
• Statistical inference using extreme order statistics
• Sea and wind: multivariate extremes at work
• Moving-maximum models for extrema of time series
• Basic properties and prediction of max-ARMA processes
• Limit theory for multivariate sample extremes
• The behavior of multivariate maxima of moving maxima processes
• Statistical Methods for Multivariate Extremes: An Application to Structural Design