Extreme value autoregressive model and its applications

DOI10.1080/15598608.2013.813415zbMath1420.62371OpenAlexW2031252290MaRDI QIDQ2320922

Yanyan Li

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2013.813415

zbMATH Keywords

autoregressive modelsmaximum likelihood methodconditional least squares methodGumbel extreme value distributionquasi maximum likelihood method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation ⋮ Tempered stable autoregressive models ⋮ Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles ⋮ On a Class of Time Series Model with Double Lindley Distribution as Marginals

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