Systems and Means of Informatics
2017, Volume 27, Issue 2, pp 16-28
STATISTICAL ANALYSIS OF MAX-LINEAR PROCESSES
Abstract
Max-linear processes are considered. It is assumed that innovations and process values have the standard Frechet distribution. Simple statistical estimators for parameters are proposed. Some estimators for parameters of the first-order max-autoregressive processes are compared on variances.
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[+] About this article
Title
STATISTICAL ANALYSIS OF MAX-LINEAR PROCESSES
Journal
Systems and Means of Informatics
Volume 27, Issue 2, pp 16-28
Cover Date
2017-05-30
DOI
10.14357/08696527170202
Print ISSN
0869-6527
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
max-linear processes; max-autoregressive processes; Frechet distribution; statistical analysis; heavy tails
Authors
A. V. Lebedev 
Author Affiliations
Faculty of Mechanics and Mathematics, M. V. Lomonosov Moscow State University, Main Building, 1 Leninskiye Gory, Moscow 119991, Russian Federation
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