Moving-maximum models for extrema of time series
From MaRDI portal
Publication:1600711
DOI10.1016/S0378-3758(01)00197-5zbMath0989.62047MaRDI QIDQ1600711
Hall, Peter, Liang Peng, Qiwei Yao
Publication date: 16 June 2002
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
bootstrap; confidence interval; prediction interval; Pareto distribution; autoregression; moving average; percentile method; generalised Pareto distribution; extreme-value distributions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G32: Statistics of extreme values; tail inference