Basic properties and prediction of max-ARMA processes

DOI10.2307/1427767zbMath0716.62098OpenAlexW1990216282MaRDI QIDQ3203896

Publication date: 1989

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/8683

zbMATH Keywords

prediction causality max-stable processes ARMA processes Necessary and sufficient conditions max-linear existence of a stationary solution domain of attraction of extreme value distribution MARMA processes MARMA recursion max-autoregressive moving average process probability of large errors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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