Extremes of integer-valued moving average sequences

DOI10.1007/S11749-009-0158-6zbMath1203.60056OpenAlexW2155710367WikidataQ59441850 ScholiaQ59441850MaRDI QIDQ619154

João Cruz, Andreia Hall, Manuel G. Scotto

Publication date: 22 January 2011

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-009-0158-6

zbMATH Keywords

extreme value theoryextremal indexbinomial thinninginteger-valued sequences

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (9)

Integer-Valued Self-Exciting Threshold Autoregressive Processes ⋮ Parameter estimation and diagnostic tests for INMA(1) processes ⋮ A multiplicative thinning‐based integer‐valued GARCH model ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ Subsampling weakly dependent time series and application to extremes ⋮ An integer-valued threshold autoregressive process based on negative binomial thinning ⋮ The distribution of the maximum of a first-order moving average: The discrete casex ⋮ Thinning-based models in the analysis of integer-valued time series: a review ⋮ On the extremes of the max-INAR(1) process for time series of counts

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• Extremes of integer-valued moving average models with regularly varying tails
• Estimation in integer-valued moving average models
• Bivariate Time Series Modeling of Financial Count Data
• Calculating the extremal index for a class of stationary sequences
• Asymptotic analysis of extremes from autoregressive negative binomial processes
• An Abel-Tauber Theorem for Laplace Transforms
• Extreme value theory for a class of discrete distributions with applications to some stochastic processes

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