Modeling Best Practice Life Expectancy Using Gumbel Autoregressive Models

نویسندگان

چکیده

Best practice life expectancy has recently been modeled using extreme value theory. In this paper we present the Gumbel autoregressive model of order one—Gumbel AR(1)—as an option for modeling best expectancy. This class represents a neat and coherent framework time series extremes. The distribution accounts nature expectancy, while AR structure temporal dependence in series. Model diagnostics simulation results indicate that these models viable alternative to Gaussian AR(1) when dealing with extremes merit further exploration.

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ژورنال

عنوان ژورنال: Risks

سال: 2021

ISSN: ['2227-9091']

DOI: https://doi.org/10.3390/risks9030051