Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/1705
Title: Extremes in incomplete samples from moving averages of random variables from the domain of attraction of the Gumbel distribution
Authors: Glavaš, Lenka 
Mladenović, Pavle 
Keywords: Extreme values;Gumbel distribution;Incomplete samples;Moving average;Point processes;Subexponential distributions
Issue Date: 1-Apr-2024
Rank: M23
Publisher: Elsevier
Journal: Statistics and Probability Letters
Abstract: 
We are interested in further extremal properties of the moving average process defined from an i.i.d. noise sequence with common distribution function belonging to the maximum domain of attraction of the Gumbel extreme value distribution and satisfying additionally two specific conditions. In particular, we consider the limiting behavior of a sequence of random vectors consisted of maxima in complete and incomplete samples from this class of moving averages. The point process approach is used to derive the corresponding results.
URI: https://research.matf.bg.ac.rs/handle/123456789/1705
ISSN: 01677152
DOI: 10.1016/j.spl.2023.110012
Appears in Collections:Research outputs

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