Extreme values of exponentially autocorrelated sequences
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Publication:1090042
DOI10.1016/0096-3003(87)90047-6zbMath0621.62086MaRDI QIDQ1090042
Publication date: 1987
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0096-3003(87)90047-6
effects of varying degrees of autocorrelation; exponential- type autocorrelation function; moments of the maximum value; statistics of extreme values of autocorrelated sequences
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods