A prediction-residual approach for identifying rare events in periodic time series

DOI10.1111/J.1467-9892.2011.00725.XMaRDI QIDQ5495688zbMATH OpenOpenAlexFDO

Authors Zhiyun Gong, Peter C. Kiessler, Robert Lund

Publication date 6 August 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00725.x

zbMATH Keywords

ARMA asymptoticspeaks over thresholdperiodicitiesthresholding

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cites work

• An introduction to statistical modeling of extreme values
• ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Calculating the extremal index for a class of stationary sequences
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Cyclostationarity: half a century of research
• Elementary Functional Analysis
• Extreme value theory for processes with periodic variances
• Extreme values of the cyclostationary Gaussian random process
• Extremes for solutions to stochastic difference equations with regularly varying tails
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 2138429 (Why is no real title available?)
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Innovations algorithm for periodically stationary time series
• Large sample properties of parameter estimates for periodic ARMA models
• On the exceedance point process for a stationary sequence
• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• PARSIMONIOUS PERIODIC TIME SERIES MODELING
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Statistical inference using extreme order statistics
• Time series with periodic structure
• Time series: theory and methods.

Cited in

(2)

• Spectral density ratio models for multivariate extremes
• A likelihood for correlated extreme series

Describes a project that uses

Uses Software

• ismev

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