Extremes and clustering of nonstationary max-AR(1) sequences

DOI10.1016/0304-4149(94)00066-3zbMATH Open0821.60057OpenAlexW1996491613MaRDI QIDQ1890734FDOQ1890734

Authors: N. A. Catkan, Maria Teresa Alpuim, J. Hüsler 

Publication date: 23 May 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00066-3

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zbMATH Keywords

compound Poisson processlimiting behaviour of the maximumnonstationary max-autoregressive sequence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) General second-order stochastic processes (60G12)

Cites Work

• Extremes and related properties of random sequences and processes
• Extreme values for stationary and Markov sequences
• On the multivariate extremal index
• Extremes and local dependence in stationary sequences
• Title not available (Why is that?)
• Title not available (Why is that?)
• An extremal markovian sequence
• A thermal energy storage process with controlled input
• On the stationary distribution of some extremal Markovian sequences
• The maximum term of uniformly mixing stationary processes
• Extreme values of non-stationary random sequences
• Some limit theorems for an energy storage model
• Calculation of the equilibrium distribution for a solar energy storage model
• New bounds for the thermal energy storage process with stationary input

Cited In (16)

• Extremal clustering in non-stationary random sequences
• Extremes of Some Sub-Sampled Time Series
• Limit distribution for point processes of high local maxima
• Multivariate extremes of random scores of particles in branching processes with max-linear heredity
• On the maximum of periodic integer-valued sequences with exponential type tails via max-semistable laws
• Maxima and sums of non-stationary random length sequences
• Asymptotic properties of extremal Markov processes driven by Kendall convolution
• Tail and dependence behavior of levels that persist for a fixed period of time
• Nonlinear prediction in max-autoregressive processes
• Maximal number of successors in a NGINAR(1) process
• Statistical analysis of first-order MARMA processes
• Extremal behaviour of models with multivariate random recurrence representation
• The extremal index and clustering of high values for derived stationary sequences
• Limit laws for maxima of a stationary random sequence with random sample size
• Asymptotic analysis of extremes from autoregressive negative binomial processes
• Stationary max-stable processes with the Markov property

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