Generalized extreme value distribution with time-dependence using the AR and MA models in state space form (Q1927108)
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scientific article; zbMATH DE number 6119750
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized extreme value distribution with time-dependence using the AR and MA models in state space form |
scientific article; zbMATH DE number 6119750 |
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Generalized extreme value distribution with time-dependence using the AR and MA models in state space form (English)
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30 December 2012
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extreme values
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generalized extreme value distribution
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Markov chain Monte Carlo
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mixture sampler
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state space model
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stock returns
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