A Max-AR(1) Model with Max-Semistable Marginals
Probability
2007-08-09 v2 Statistics Theory
Statistics Theory
Abstract
The structure of stationary first order max-autoregressive schemes with max-semi-stable marginals is studied. A connection between semi-selfsimilar extremal processes and this max-autoregressive scheme is discussed resulting in their characterizations. Corresponding cases of max-stable and selfsimilar extremal processes are also discussed.
Keywords
Cite
@article{arxiv.math/0602583,
title = {A Max-AR(1) Model with Max-Semistable Marginals},
author = {S Satheesh and E Sandhya},
journal= {arXiv preprint arXiv:math/0602583},
year = {2007}
}
Comments
In journal format, 5 Pages, contents changed