Moving-maximum models for extrema of time series
-
Altmetric Citations
Hall, Peter; Peng, L; Yao, Qiwei
Description
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]
Collections | ANU Research Publications |
---|---|
Date published: | 2002 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/72705 |
Source: | Journal of Statistical Planning and Inference |
DOI: | 10.1016/S0378-3758(01)00197-5 |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
01_Hall_Moving-maximum_models_for_2002.pdf | 122.03 kB | Adobe PDF | Request a copy |
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 19 May 2020/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator