Maximum of a partial sample in the uniform AR(1) processes

DOI10.1016/J.SPL.2009.03.016MaRDI QIDQ1026341zbMATH OpenOpenAlexFDO

Authors Pavle Mladenović

Publication date 24 June 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.03.016

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

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• New examples of partial samples from the uniform \(\mathrm{AR}(1)\) process and asymptotic distributions of extremes
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• Asymptotic distributions of maxima of complete and incomplete samples from strongly dependent stationary Gaussian sequences
• On almost sure max-limit theorems of complete and incomplete samples from stationary sequences

Cites work

• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• Extremes and related properties of random sequences and processes
• Extremes in autoregressive processes with uniform marginal distributions
• Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations
• Large deviations of a storage process with fractional Brownian motion as input
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Maxima and minima of stationary sequences
• Maxima of partial samples in Gaussian sequences
• On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences
• On maxima of partial samples in Gaussian sequences with pseudo-stationary trends
• On overload in a storage model, with a self-similar and infinitely divisible input.

Cited in

(6)

• Extreme values of the uniform order 1 autoregressive processes and missing observations
• Extreme values of linear processes with heavy-tailed innovations and missing observations
• The joint distribution of the maximum and minimum of an AR(1) process
• Uniform AR(1) processes and maxima on partial samples
• New examples of partial samples from the uniform \(\mathrm{AR}(1)\) process and asymptotic distributions of extremes
• Extremes in incomplete samples from moving averages of random variables from the domain of attraction of the Gumbel distribution

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