Nonlinear prediction in max-autoregressive processes

DOI10.1134/S0001434609030328zbMath1183.62160OpenAlexW2021232998MaRDI QIDQ1033969

Alexey V. Lebedev

Publication date: 10 November 2009

Published in: Mathematical Notes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0001434609030328

zbMATH Keywords

random processARMA processFréchet distributionmax-stablenonlinear predictionMARMA processmax-autoregressive processmax-linearsign and rank statistics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Multivariate extremes of random scores of particles in branching processes with max-linear heredity

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Basic properties and prediction of max-ARMA processes

This page was built for publication: Nonlinear prediction in max-autoregressive processes