An extension of max autoregressive models

DOI10.4310/SII.2011.V4.N2.A19MaRDI QIDQ647185zbMATH OpenOpenAlexWikidataFDO

Authors Philippe Naveau, Zhengjun Zhang, Bin Zhu

Publication date 1 December 2011

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/sii.2011.v4.n2.a19

Mathematics Subject Classification ID

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

Cited in

(7)

• Maximum independent component analysis with application to EEG data
• The max-INAR(1) model for count processes
• Max-linear regression models with regularization
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
• New extreme value theory for maxima of maxima
• Decoupling systemic risk into endopathic and exopathic competing risks through autoregressive conditional accelerated Fréchet model

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