Moving-maximum models for extrema of time series

DOI10.1016/S0378-3758(01)00197-5zbMath0989.62047WikidataQ127124978 ScholiaQ127124978MaRDI QIDQ1600711

Qiwei Yao, Liang Peng, Hall, Peter

Publication date: 16 June 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

bootstrapconfidence intervalprediction intervalPareto distributionautoregressionmoving averagepercentile methodgeneralised Pareto distributionextreme-value distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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