Generalized extreme value distribution with time-dependence using the AR and MA models in state space form

Computational Statistics and Data Analysis - Tập 56 - Trang 3241-3259 - 2012
Jouchi Nakajima1, Tsuyoshi Kunihama1, Yasuhiro Omori2, Sylvia Frühwirth-Schnatter3
1Department of Statistical Science, Duke University, Durham 27708-0251, USA
2Faculty of Economics, University of Tokyo, Tokyo 113-0033, Japan
3Department of Applied Statistics, Johannes Kepler University Linz, Altenbergerstr. 69, 4040 Linz, Austria

Tài liệu tham khảo

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