A Max-AR(1) Model with Max-Semistable Marginals

MaRDI QIDQ6476772zbMATH OpenFDO

Authors S. Satheesh, E. Sandhya

Publication date 26 February 2006

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Extreme value theory; extremal stochastic processes (60G70) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: The structure of stationary first order max-autoregressive schemes with max-semi-stable marginals is studied. A connection between semi-selfsimilar extremal processes and this max-autoregressive scheme is discussed resulting in their characterizations. Corresponding cases of max-stable and selfsimilar extremal processes are also discussed.

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