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

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  • Hall, Andreia
  • Moreira, Orlando

Abstract

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.

Suggested Citation

  • Hall, Andreia & Moreira, Orlando, 2006. "A note on the extremes of a particular moving average count data model," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 135-141, January.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:2:p:135-141
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