Article ID Journal Published Year Pages File Type
1155047 Statistics & Probability Letters 2006 7 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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