The estimation of M4 processes with geometric moving patterns

DOI10.1007/s10463-006-0078-0zbMath1184.62147OpenAlexW2095572516MaRDI QIDQ1039831

Zhengjun Zhang

Publication date: 23 November 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0078-0

zbMATH Keywords

parameter estimationextreme value theoryempirical distributionmax-stable processmultivariate maxima of moving maximamultivariate nonlinear time series

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (5)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ ⋮ Extremes of multivariate ARMAX processes ⋮ On approximating max-stable processes and constructing extremal copula functions ⋮ Maxima of moving maxima of continuous functions

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• Basic properties and prediction of max-ARMA processes
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• Statistical Methods for Multivariate Extremes: An Application to Structural Design

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