A note on the extremes of a particular moving average count data model

Andreia Hall and Orlando Moreira

Statistics & Probability Letters, 2006, vol. 76, issue 2, 135-141

Abstract: In this note we present a study of the extremal properties of a particular moving average count data model introduced by McKenzie (1986) [Auto regressive-moving-average processes with negative binomial and geometric marginal distribution. Adv. Appl. Probab. 18, 679-705]. After verifying appropriate dependence conditions, we show that the distribution of the maximum term has the same limiting behaviour as if the sequence was independent and identically distributed. A simulation study illustrates the results.

Keywords: Extreme; value; theory; Discrete; stationary; sequences; Binomial; thinning (search for similar items in EconPapers)
Date: 2006
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