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

DOI10.1016/0304-4149(94)00066-3MaRDI QIDQ1890734zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

compound Poisson processlimiting behaviour of the maximumnonstationary max-autoregressive sequence

Mathematics Subject Classification ID

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

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Cites work

• A thermal energy storage process with controlled input
• An extremal markovian sequence
• Calculation of the equilibrium distribution for a solar energy storage model
• Extreme values for stationary and Markov sequences
• Extreme values of non-stationary random sequences
• Extremes and local dependence in stationary sequences
• Extremes and related properties of random sequences and processes
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3359478 (Why is no real title available?)
• New bounds for the thermal energy storage process with stationary input
• On the multivariate extremal index
• On the stationary distribution of some extremal Markovian sequences
• Some limit theorems for an energy storage model
• The maximum term of uniformly mixing stationary processes

Cited in

(18)

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

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