Extremal Behavior of the Generalized Integer-Valued Random Coefficient Autoregressive Process
| dc.contributor.author | Canto e Castro, Luísa | |
| dc.contributor.author | Gomes, Dulce | |
| dc.contributor.author | Temido, Maria da Graça | |
| dc.contributor.editor | Caeiro, Frederico | |
| dc.date.accessioned | 2014-01-15T14:58:43Z | |
| dc.date.available | 2014-01-15T14:58:43Z | |
| dc.date.issued | 2013-09 | |
| dc.description.abstract | A stationary generalized random coefficient integer auto-regressive model of order 1 (Generalized RCINAR(1)), based on a thinning random operation, is presented. It is proved that the process satisfies a long range condition as well as a local dependence condition, which are appropriate extensions of the well known D(u_n) and D'(u_n) conditions of Leadbetter. Assuming that the marginal discrete distribution function belongs to Anderson's class, and then it does not belong to the domain of attraction of any max-stable distribution, the limit in distribution of the maximum of k_n random variables, being {k_n} a geometric growing sequence, is obtained. This limit is a discrete max-semistable distribution function usually called discretized Gumbel. | por |
| dc.identifier.authoremail | luisa.loura@fc.ul.pt | |
| dc.identifier.authoremail | dmog@uevora.pt | |
| dc.identifier.authoremail | mgtm@mat.uc.pt | |
| dc.identifier.citation | Canto e Castro, L., Gomes, D. e Temido, M. G. (2013). Extremal Behavior of the Generalized Integer-Valued Random Coefficient Autoregressive Process. In Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications. Studies in Theoretical and Applied Statistics 2013, pp 93-101 (Lita da Silva, J.; Caeiro, F.; Natário, I.; Braumann, C.A. (Eds.)). ISBN: 9783642349034. | por |
| dc.identifier.doi | 10.1007/978-3-642-34904-1_9 | |
| dc.identifier.isbn | 9783642349034 | |
| dc.identifier.scientificarea | 336 | por |
| dc.identifier.uri | http://hdl.handle.net/10174/9646 | |
| dc.language.iso | eng | por |
| dc.publisher | Springer-Verlag Berlin Heidelberg | por |
| dc.rights | restrictedAccess | por |
| dc.subject | Extremal Behavior | por |
| dc.subject | Integer-valued Time Series | por |
| dc.subject | Autoregressive Process | por |
| dc.subject | Max-semistable Class | por |
| dc.subject | Anderson's Class | por |
| dc.title | Extremal Behavior of the Generalized Integer-Valued Random Coefficient Autoregressive Process | por |
| dc.type | bookPart | por |