Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
type: Item
instance of: scholarly article
title: Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
zbMATH Open document ID: 1255.62150
author: Jouchi Nakajima
author: T. Kunihama
author: Yasuhiro Omori
author: Sylvia Frühwirth-Schnatter
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
zbMATH DE Number: 6119750
zbMATH Keywords: extreme values
zbMATH Keywords: generalized extreme value distribution
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: mixture sampler
zbMATH Keywords: state space model
zbMATH Keywords: stock returns
describes a project that uses: ismev
describes a project that uses: BayesDA
MaRDI profile type: Publication
full work available at URL: j.csda.2011.04.017
OpenAlex ID: W2123399453
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DOI: 10.1016/J.CSDA.2011.04.017
description: scientific article; zbMATH DE number 6119750