Impact of dependence on parameter estimates of autoregressive process with Gumbel distributed innovation

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Impact of dependence on parameter estimates of autoregressive process with Gumbel distributed innovation

Recent studies have shown that independent identical distributed Gaussianrandom variables is not suitable for modelling extreme values observed during extremal events. However, many real life data on extreme values are dependent and stationary rather than the conventional independent identically dis...

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Bibliographic Details
Main Authors:	Samuel, Bako Sunday, Adam, Mohd Bakri, Fitrianto, Anwar
Format:	Article
Language:	English
Published:	Department of Mathematics, Universiti Teknologi Malaysia 2018
Online Access:	http://psasir.upm.edu.my/id/eprint/74562/ http://psasir.upm.edu.my/id/eprint/74562/1/Impact%20of%20dependence%20on%20parameter%20estimates%20of%20autoregressive%20process%20with%20Gumbel%20distributed%20innovation.pdf

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