Extreme values of exponentially autocorrelated sequences

DOI10.1016/0096-3003(87)90047-6zbMath0621.62086OpenAlexW2064405035MaRDI QIDQ1090042

B. George

Publication date: 1987

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(87)90047-6

zbMATH Keywords

effects of varying degrees of autocorrelationexponential- type autocorrelation functionmoments of the maximum valuestatistics of extreme values of autocorrelated sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• Analysis of extreme values of natural processes: Statistical description of the maximum
• Extremes and related properties of random sequences and processes
• Extreme values of autocorrelated sequences
• Computer experiments for the analysis of extreme-value phenomena
• Sur la distribution limite du terme maximum d'une série aléatoire
• Generating autocorrelated pseudo-random numbers with specific distributions
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