A note on maximum autoregressive processes of order one

DOI10.1111/1467-9892.00281MaRDI QIDQ4677012zbMATH OpenOpenAlexFDO

Authors

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00281

zbMATH Keywords

asymptotic autoregressive processmaximum autoregressionparameter estimationregularly varying tail

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Parameter estimation and dependence characterization of the MAR(1) process
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Cites work

• Estimation for first-order autoregressive processes with positive or bounded innovations
• Limit distributions for linear programming time series estimators
• M-estimation for autoregression with infinite variance

Cited in

(7)

• Nonlinear prediction in max-autoregressive processes
• Asymptotic distribution of maximal autoregressive process with weight tending to 1
• Statistical analysis of first-order MARMA processes
• Basic properties and prediction of max-ARMA processes
• scientific article; zbMATH DE number 5545734 (Why is no real title available?)
• Parameter estimation and dependence characterization of the MAR(1) process
• The distribution of the maximum of a first order autoregressive process: The continuous case

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