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Evaluation of the Distribution Function of Sample Maxima in Stationary Random Sequences with Pseudo-Stationary Trend

Author

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  • Kudrov, Alexander

    (CEMI RAS, Moscow, Russia)

Abstract

By using stochastic simulation techniques the author compares a method of evaluation of the distribution function of sample maxima in stationary random sequences with a pseudo-stationary trend to the classical approach where the trend is not taken into account. This approach has been applied both to electricity consumption in Russia and to air temperature records in the central England

Suggested Citation

  • Kudrov, Alexander, 2008. "Evaluation of the Distribution Function of Sample Maxima in Stationary Random Sequences with Pseudo-Stationary Trend," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 11(3), pages 64-86.
    • Handle: RePEc:ris:apltrx:0120
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    File URL: http://pe.cemi.rssi.ru/pe_2008_3_64-86.pdf
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    References listed on IDEAS

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    1. Mladenovic, Pavle & Piterbarg, Vladimir, 2006. "On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1977-1991, December.
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    Cited by:

    1. Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.

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    More about this item

    Keywords

    stochastic simulation; electricity consumption;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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