Extreme values of exponentially autocorrelated sequences. (English) Zbl 0621.62086
The statistics of extreme values of autocorrelated sequences often forms an important aspect of the analysis of numerous physical phenomena. This study examines the statistical behavior of the extreme values of three different types of sequences, each of which has an exponential-type autocorrelation function. Computer experiments are used to investigate the distribution function and the moments of the maximum value of each of these sequences. The effects of varying degrees of autocorrelation, and other parameters such as the length of the underlying sequence, are also studied and quantified.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 65C05 | Monte Carlo methods |
Keywords:
statistics of extreme values of autocorrelated sequences; exponential- type autocorrelation function; moments of the maximum value; effects of varying degrees of autocorrelationReferences:
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