Moving-maximum models for extrema of time series

Journal of Statistical Planning and Inference

Volumn 103, Issue 1-2, 2002, Pages 51-63

  Hall, Peter ^a   Peng, Liang ^a   Yao, Qiwei ^a,b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Autoregression; Bootstrap; Confidence interval; Extreme value distribution; Generalised pareto distribution; Moving average; Pareto distribution; Percentile method; Prediction interval

Indexed keywords

EID: 0037089915     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-3758(01)00197-5     Document Type: Article

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