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 |
Show full item record
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.