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The estimation of M4 processes with geometric moving patterns

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  • Zhengjun Zhang

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  • Zhengjun Zhang, 2008. "The estimation of M4 processes with geometric moving patterns," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(1), pages 121-150, March.
    • Handle: RePEc:spr:aistmt:v:60:y:2008:i:1:p:121-150
    DOI: 10.1007/s10463-006-0078-0
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    References listed on IDEAS

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    1. Stuart G. Coles & Jonathan A. Tawn, 1994. "Statistical Methods for Multivariate Extremes: An Application to Structural Design," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 43(1), pages 1-31, March.
    2. Hall, Peter & Peng, Liang & Yao, Qiwei, 2002. "Moving-maximum models for extrema of time series," LSE Research Online Documents on Economics 6084, London School of Economics and Political Science, LSE Library.
    3. Deheuvels, Paul, 1983. "Point processes and multivariate extreme values," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 257-272, June.
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    Cited by:

    1. Marta Ferreira & Helena Ferreira, 2013. "Extremes of multivariate ARMAX processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 606-627, November.

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