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Journal of Statistical Theory and Practice

, Volume 8, Issue 3, pp 460–481 | Cite as

Extreme Value Autoregressive Model and its Applications

  • N. Balakrishna
  • K. Shiji
Article

Abstract

This article proposes a first-order autoregressive model with Gumbel extreme value marginal distribution to analyze the time-series data. As the innovation distribution of the model does not admit a closed-form expression, the problem of estimation becomes complicated. In this article, we propose the method of conditional least squares, quasi maximum likelihood, and maximum likelihood for estimating model parameters. Simulation studies are carried out to assess the performance of these methods. Two sets of real data are analyzed to illustrate the applications of the proposed model.

Keywords

Autoregressive models Conditional least squares method Gumbel extreme value distribution Maximum likelihood method Quasi maximum likelihood method 

AMS Subject Classification

62M10 

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Copyright information

© Grace Scientific Publishing 2014

Authors and Affiliations

  1. 1.Department of StatisticsCochin University of Science and TechnologyCochin, Kerala, EmakulamIndia

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