Moving-maximum models for extrema of time series
We discuss moving-maximum models, based on weighted maxima of independent random variables, for extreme values from a time series. The models encompass a range of stochastic processes that are of interest in the context of extreme-value data. We show that a stationary stochastic process whose finite-dimensional distributions are extreme-value distributions may be approximated arbitrarily closely by a moving-maximum process with extreme-value marginals. It is demonstrated that bootstrap...[Show more]
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|Source:||Journal of Statistical Planning and Inference|
|01_Hall_Moving-maximum_models_for_2002.pdf||122.03 kB||Adobe PDF||Request a copy|
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