The joint distribution of the maximum and minimum of an AR(1) process

DOI10.1016/j.spl.2015.01.007zbMath1328.60129OpenAlexW2007321528MaRDI QIDQ2344870

Christopher S. Withers, Saralees Nadarajah

Publication date: 18 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.01.007

zbMATH Keywords

joint distributionmaximumminimumautoregressive processFredholm kernel

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (1)

The joint distribution of the sample minimum and maximum from a smooth distribution on \(\left[w_1, w_2\right\)]

Uses Software

• R
• FitAR

Cites Work

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• Minima and maxima of elliptical arrays and spherical processes
• The distribution of the maximum of a first order moving average: the continuous case
• The distribution of the maximum of a first order autoregressive process: The continuous case
• Almost sure limit theorems of extremes of complete and incomplete samples of stationary sequences
• The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences
• Extremes and related properties of random sequences and processes
• Maxima and minima of stationary sequences
• Limit laws for extremes of dependent stationary Gaussian arrays
• Fredholm equations for non-symmetric kernels with applications to iterated integral operators
• Maxima and minima of complete and incomplete stationary sequences
• On a measure of lack of fit in time series models
• Limit properties of exceedances point processes of scaled stationary Gaussian sequences
• Large Deviation Principles for Sequences of Maxima and Minima

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