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Moving-maximum models for extrema of time series

Hall, Peter; Peng, L; Yao, Qiwei


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]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
Source: Journal of Statistical Planning and Inference
DOI: 10.1016/S0378-3758(01)00197-5


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