A Max-AR(1) Model with Max-Semistable Marginals

/ Authors

/ Abstract

The structure of stationary first order max-autoregressive schemes with max-semi-stable marginals is studied. A connection between semi-selfsimilar extremal processes and this max-autoregressive scheme is discussed resulting in their characterizations. Corresponding cases of max-stable and selfsimilar extremal processes are also discussed.

A Max-AR(1) Model with Max-Semistable Marginals

/ Authors

S. Satheesh, E. Sandhya

/ Abstract

The structure of stationary first order max-autoregressive schemes with max-semi-stable marginals is studied. A connection between semi-selfsimilar extremal processes and this max-autoregressive scheme is discussed resulting in their characterizations. Corresponding cases of max-stable and selfsimilar extremal processes are also discussed.