The distribution of the maximum of a first order autoregressive process: The continuous case
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Publication:641767
DOI10.1007/s00184-010-0301-0zbMath1230.62124arXiv1001.5265OpenAlexW2014156247MaRDI QIDQ641767
Christopher S. Withers, Saralees Nadarajah
Publication date: 25 October 2011
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.5265
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Related Items (5)
The distribution of the maximum of an ARMA(1,1) process ⋮ The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes ⋮ The dual multivariate Charlier and Edgeworth expansions ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ The joint distribution of the maximum and minimum of an AR(1) process
Cites Work
- Tail behaviour and extremes of two-state Markov-switching autoregressive models
- Extremes in autoregressive processes with uniform marginal distributions
- Fredholm equations have uniformly convergent solutions
- Asymptotics of maxima of discrete random variables
- Extremal behavior of the autoregressive process with ARCH(1) errors
- Fredholm equations for non-symmetric kernels with applications to iterated integral operators
- Asymptotic analysis of extremes from autoregressive negative binomial processes
- Fredholm theory for arbitrary measure spaces
- Mercer's Theorem and Fredholm resolvents
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