A note on the extremes of a particular moving average count data model

DOI10.1016/J.SPL.2005.07.002zbMath1086.62098OpenAlexW2010905825MaRDI QIDQ2489830

Andreia Hall, Orlando M. Moreira

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.07.002

zbMATH Keywords

Extreme value theoryBinomial thinningDiscrete stationary sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (3)

The distribution of the maximum of a first order moving average: the continuous case ⋮ On the max-semistable limit of maxima of stationary sequences with missing values ⋮ The distribution of the maximum of a first-order moving average: The discrete casex

Cites Work

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• Extremes and related properties of random sequences and processes
• Discrete analogues of self-decomposability and stability
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Asymptotic analysis of extremes from autoregressive negative binomial processes
• Extreme value theory for a class of discrete distributions with applications to some stochastic processes

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