Tail behaviour and extremes of two-state Markov-switching autoregressive models

Computers and Mathematics with Applications

Volumn 55, Issue 12, 2008, Pages 2839-2855

  Elek, Péter ^a,b   Zempléni, András ^b  

^a Ministry of Finance   (Hungary)

^b EÖTVÖS LORÁND UNIVERSITY   (Hungary)

Author keywords

Extremal clusters; Extremal index; Markov switching autoregressive model; River flow modeling; Tail behaviour

Indexed keywords

ASYMPTOTIC ANALYSIS; CLUSTER ANALYSIS; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; REGRESSION ANALYSIS;

EXTREMAL CLUSTERS; EXTREMAL INDEX; MARKOV-SWITCHING AUTOREGRESSIVE MODELS; RIVER FLOW MODELING; TAIL BEHAVIOR;

MARKOV PROCESSES;

EID: 43049133718     PISSN: 08981221     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.camwa.2007.09.008     Document Type: Article

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