Asymptotic analysis of extremes from autoregressive negative binomial processes

DOI10.2307/3214723MaRDI QIDQ4031664zbMATH OpenOpenAlexFDO

Authors Yousung Park, W. P. McCormick

Publication date 1 April 1993

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214723

zbMATH Keywords

mixing conditionssmall sample simulation studyextreme value limiting distributiongeometric autoregressive moving average processnegative binomial first order autoregression

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited in

(12)

• A note on the extremes of a particular moving average count data model
• On the maximum of periodic integer-valued sequences with exponential type tails via max-semistable laws
• On the Maximum Term of MA and Max-AR Models with Margins in Anderson's Class
• The distribution of the maximum of a first-order moving average: the discrete case
• Regeneration-based bootstrap for Markov chains
• Maximal number of successors in a NGINAR(1) process
• The distribution of the maximum of a first order autoregressive process: The continuous case
• On the max-semistable limit of maxima of stationary sequences with missing values
• Extremes of integer-valued moving average models with exponential type tails
• Extremes of integer-valued moving average sequences
• Thinning-based models in the analysis of integer-valued time series: a review
• Maximum term of a particular autoregressivesequence with discrete margins

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