A note on the extremes of a particular moving average count data model

被引：3
|
作者：
Hall, A [1 ]
Moreira, O [1 ]
机构：
[1] Univ Aveiro, Dept Math, P-3810193 Aveiro, Portugal
来源：
STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 02期
关键词：
extreme value theory; discrete stationary sequences; binomial thinning;
D O I：
10.1016/j.spl.2005.07.002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this note we present a study of the extremal properties of a particular moving average count data model introduced by McKenzie (1986) [Auto regressive-moving-average processes with negative binomial and geometric marginal distribution. Adv. Appl. Probab. 18, 679-705]. After verifying appropriate dependence conditions, we show that the distribution of the maximum term has the same limiting behaviour as if the sequence was independent and identically distributed. A simulation study illustrates the results. (C) 2005 Published by Elsevier B.V.
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页码：135 / 141
页数：7
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