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Sistemy i Sredstva Informatiki [Systems and Means of Informatics], 2017, Volume 27, Issue 2, Pages 16–28
DOI: https://doi.org/10.14357/08696527170202 (Mi ssi512) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Statistical analysis of max-linear processes

A. V. Lebedev

Faculty of Mechanics and Mathematics, M. V. Lomonosov Moscow State University, Main Building, 1 Leninskiye Gory, Moscow 119991, Russian Federation
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DOI: https://doi.org/10.14357/08696527170202
Abstract: Max-linear processes are considered. It is assumed that innovations and process values have the standard Fréchet distribution. Simple statistical estimators for parameters are proposed. Some estimators for parameters of the first-order max-autoregressive processes are compared on variances.
Keywords: max-linear processes; max-autoregressive processes; Fréchet distribution; statistical analysis; heavy tails.
Funding agency Grant number
Russian Foundation for Basic Research 14-01-00075_а
The research was supported by the Russian Foundation for Basic Research (project 14-01-00075).
Received: 30.10.2016
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Lebedev, “Statistical analysis of max-linear processes”, Sistemy i Sredstva Inform., 27:2 (2017), 16–28
Citation in format AMSBIB
\Bibitem{Leb17}
\by A.~V.~Lebedev
\paper Statistical analysis of max-linear processes
\jour Sistemy i Sredstva Inform.
\yr 2017
\vol 27
\issue 2
\pages 16--28
\mathnet{http://mi.mathnet.ru/ssi512}
\crossref{https://doi.org/10.14357/08696527170202}
\elib{https://elibrary.ru/item.asp?id=29216653}
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    • This publication is cited in the following 1 articles:
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    		Системы и средства информатики
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