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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 2, Pages 358–373
DOI: https://doi.org/10.4213/tvp58
(Mi tvp58)
 

This article is cited in 9 scientific papers (total in 9 papers)

On the maximum term of MA and Max-AR models with margins in Anderson's class

A. Halla, M. da Graça Temidob

a University of Aveiro
b University of Coimbra
References:
Abstract: We consider several integer-valued stationary models of MA and max-AR type and study the limiting distribution of the maximum term after appropriate normalization. In particular, we consider marginal distributions which do not belong to the domain of attraction of any extreme value distribution but exhibit a quasi-stable limiting behavior in the sense of Anderson [J. Appl. Probab., 7 (1970), pp. 99–113] and therefore belong to the domain of attraction of a max-semistable law. Examples of such distributions are the negative binomial and the logarithmic distribution which are widely used to model real data applications. By verifying appropriate dependence conditions we obtain the limiting distribution of the maximum term for the models under consideration. Motivation comes from the analysis of the extremal behavior of integer-valued data requiring specific time series modeling.
Keywords: integer-valued stationary sequences, extremal index, binomial thinning.
Received: 06.07.2004
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 2, Pages 291–304
DOI: https://doi.org/10.1137/S0040585X97982347
Bibliographic databases:
Language: English
Citation: A. Hall, M. da Graça Temido, “On the maximum term of MA and Max-AR models with margins in Anderson's class”, Teor. Veroyatnost. i Primenen., 51:2 (2006), 358–373; Theory Probab. Appl., 51:2 (2007), 291–304
Citation in format AMSBIB
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  • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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