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

DOI10.1016/J.SPL.2005.07.002MaRDI QIDQ2489830zbMATH OpenOpenAlexFDO

Authors 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)

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• Extreme value theory for moving average processes
• Extremes of integer-valued moving average models with exponential type tails
• Extremes of integer-valued moving average sequences
• Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
• The distribution of the maximum of a first-order moving average: the discrete case

Cites work

• scientific article; zbMATH DE number 3675177 (Why is no real title available?)
• scientific article; zbMATH DE number 1959513 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Asymptotic analysis of extremes from autoregressive negative binomial processes
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Discrete analogues of self-decomposability and stability
• Extreme value theory for a class of discrete distributions with applications to some stochastic processes
• Extremes and related properties of random sequences and processes

Cited in

(4)

• A note on the asymptotic distribution of the maxima in disaggregated time-series models.
• The distribution of the maximum of a first-order moving average: the discrete case
• 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

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