An extension of max autoregressive models

DOI10.4310/SII.2011.v4.n2.a19OpenAlexW2321552856WikidataQ116752827 ScholiaQ116752827MaRDI QIDQ647185

Zhengjun Zhang, Philippe Naveau, Bin Zhu

Publication date: 1 December 2011

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2011.v4.n2.a19

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ New extreme value theory for maxima of maxima ⋮ Max-linear regression models with regularization ⋮ Maximum independent component analysis with application to EEG data ⋮ The max-INAR(1) model for count processes

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