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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Department of Mathematics, Universiti Teknologi Malaysia
2018
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| Online Access: | http://psasir.upm.edu.my/id/eprint/74562/1/Impact%20of%20dependence%20on%20parameter%20estimates%20of%20autoregressive%20process%20with%20Gumbel%20distributed%20innovation.pdf |