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

J. Nakajima, T. Kunihama, Y. Omori, Sylvia Frühwirth-Schnatter

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	3241-3259
Number of pages	15
Journal	Computational Statistics and Data Analysis
Volume	56
Issue number	11
DOIs	https://doi.org/10.1016/j.csda.2011.04.017
Publication status	Published - 2011

Fields of science

@article{c44ed7565eb447d8b4f5086fca807ed4,

title = "Generalized extreme value distribution with time-dependence using AR and MA models in state space form",

author = "J. Nakajima and T. Kunihama and Y. Omori and Sylvia Fr{\"u}hwirth-Schnatter",

year = "2011",

doi = "10.1016/j.csda.2011.04.017",

language = "English",

volume = "56",

pages = "3241--3259",

journal = "Computational Statistics and Data Analysis",

issn = "1872-7352",

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TY - JOUR

T1 - Generalized extreme value distribution with time-dependence using AR and MA models in state space form

AU - Nakajima, J.

AU - Kunihama, T.

AU - Omori, Y.

AU - Frühwirth-Schnatter, Sylvia

PY - 2011

Y1 - 2011

U2 - 10.1016/j.csda.2011.04.017

DO - 10.1016/j.csda.2011.04.017

M3 - Article

SN - 1872-7352

VL - 56

SP - 3241

EP - 3259

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

IS - 11

ER -