Matematicheskie Zametki
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Forthcoming papers
Archive
Impact factor
Guidelines for authors
License agreement
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Mat. Zametki:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Matematicheskie Zametki, 2008, Volume 83, Issue 4, Pages 552–558
DOI: https://doi.org/10.4213/mzm4575 (Mi mzm4575) 		 
This article is cited in 8 scientific papers (total in 8 papers)

Statistical Analysis of First-Order MARMA Processes

A. V. Lebedev

M. V. Lomonosov Moscow State University
Full-text PDF (430 kB) Citations (8)
References:
PDF
HTML
DOI: https://doi.org/10.4213/mzm4575
Abstract: In this paper, we consider processes of the MARMA type that can be derived from the classical ARMA processes by replacing summation by the maximum operation. It is assumed that the innovations and the values of the process have the standard Fréchet distribution. For simple MARMA processes of first order, certain numerical characteristics are calculated. Sign tests and rank statistical methods for parameter estimation are developed. The characterization relations that can be used for the identification of models are justified.
Keywords: MARMA and ARMA processes, moving maximum, sign test, rank test, estimation of parameters, random variable, Fréchet distribution, Pearson correlation coefficient.
Received: 20.03.2007
English version:
Mathematical Notes, 2008, Volume 83, Issue 4, Pages 506–511
DOI: https://doi.org/10.1134/S0001434608030243
Bibliographic databases:
UDC: 519.246
Language: Russian
Citation: A. V. Lebedev, “Statistical Analysis of First-Order MARMA Processes”, Mat. Zametki, 83:4 (2008), 552–558; Math. Notes, 83:4 (2008), 506–511
Citation in format AMSBIB
\Bibitem{Leb08}
\by A.~V.~Lebedev
\paper Statistical Analysis of First-Order MARMA Processes
\jour Mat. Zametki
\yr 2008
\vol 83
\issue 4
\pages 552--558
\mathnet{http://mi.mathnet.ru/mzm4575}
\crossref{https://doi.org/10.4213/mzm4575}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2431621}
\zmath{https://zbmath.org/?q=an:1152.62059}
\transl
\jour Math. Notes
\yr 2008
\vol 83
\issue 4
\pages 506--511
\crossref{https://doi.org/10.1134/S0001434608030243}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000255998600024}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-43749110291}
Linking options:
  • https://www.mathnet.ru/eng/mzm4575
  • https://doi.org/10.4213/mzm4575
  • https://www.mathnet.ru/eng/mzm/v83/i4/p552
    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Математические заметки Mathematical Notes
    Statistics & downloads:
    Abstract page:588
    Full-text PDF :202
    References:64
    First page:9
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024