Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.

DOI10.1016/S0167-7152(03)00057-9zbMath1116.60337OpenAlexW1971146360WikidataQ59441901 ScholiaQ59441901MaRDI QIDQ1423218

Andreia Hall, Manuel G. Scotto

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00057-9

zbMATH Keywords

thinningBinomialExtremal indexInteger-valued stationary sequencesSub-sampling

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (6)

Clustering of upcrossings of high values ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations ⋮ On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails ⋮ Extremes of Stationary Sequences with Failures ⋮ The distribution of the maximum of a first-order moving average: The discrete casex

Cites Work

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• On the extremal behavior of sub-sampled solutions of stochastic difference equations
• Extremes and related properties of random sequences and processes
• Extremes of integer-valued moving average models with regularly varying tails
• Estimation in integer-valued moving average models
• Stationary Time Series Models with Exponential Dispersion Model Margins
• Extremes of Some Sub-Sampled Time Series
• Extremal Analysis of Processes Sampled at Different Frequencies

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