Related papers: A Max-AR(1) Model with Max-Semistable Marginals
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Since many environmental processes such as heat waves or precipitation are spatial in extent, it is likely that a single extreme event affects several locations and the areal modelling of extremes is therefore essential if the spatial…
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We suggest an INARMA(1, 1) model with Poisson marginals which extends the INAR(1) in a similar way as the INGARCH(1, 1) does for the INARCH(1) model. The new model is equivalent to a binomially thinned INAR(1) process. This allows us to…
Stationarity is a very common assumption in time series analysis. A vector autoregressive process is stationary if and only if the roots of its characteristic equation lie outside the unit circle, constraining the autoregressive coefficient…
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This paper contains selected applications of the new tangential extremal principles and related results developed in Part I to calculus rules for infinite intersections of sets and optimality conditions for problems of semi-infinite…
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The paper considers two main results. First one is the uniform bound for strong mixing coefficient of ARCH sequence. Second is the bound for maximum of residual empirical process in the same model. We illustrate their usefulness by proving…