Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.

DOI10.1016/S0167-7152(03)00057-9MaRDI QIDQ1423218zbMATH OpenOpenAlexWikidataFDO

Authors Andreia Hall, Manuel G. Scotto

Publication date 14 February 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(03)00057-9

zbMATH Keywords

thinningBinomialExtremal indexInteger-valued stationary sequencesSub-sampling

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• Estimation in integer-valued moving average models
• Extremal Analysis of Processes Sampled at Different Frequencies
• Extremes and related properties of random sequences and processes
• Extremes of Some Sub-Sampled Time Series
• Extremes of integer-valued moving average models with regularly varying tails
• On the extremal behavior of sub-sampled solutions of stochastic difference equations
• Stationary Time Series Models with Exponential Dispersion Model Margins

Cited in

(18)

• Extremes of integer-valued moving average models with regularly varying tails
• Extremes of periodic integer-valued sequences with exponential type tails
• The distribution of the maximum of a first-order moving average: the discrete case
• Extremes of integer-valued moving average models with exponential type tails
• A note on the extremes of a particular moving average count data model
• On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails
• Extremes of Some Sub-Sampled Time Series
• The distribution of the maximum of a first order moving average: the continuous case
• Extremes of Stationary Sequences with Failures
• On the maximum of periodic integer-valued sequences with exponential type tails via max-semistable laws
• A note on the asymptotic distribution of the maxima in disaggregated time-series models.
• On the extremes of randomly sub-sampled time series
• Extremes of deterministic sub‐sampled moving averages with heavy‐tailed innovations
• Clustering of upcrossings of high values
• Extremes of integer-valued moving average sequences
• The extremal index of sub-sampled processes
• On the Maximum Term of MA and Max-AR Models with Margins in Anderson's Class
• Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations

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