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

DOI10.1016/J.SPL.2015.01.007MaRDI QIDQ2344870zbMATH OpenOpenAlexFDO

Authors 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

autoregressive processFredholm kerneljoint distributionmaximumminimum

Mathematics Subject Classification ID

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

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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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Cites work

• Almost sure limit theorems of extremes of complete and incomplete samples of stationary sequences
• Extremes and related properties of random sequences and processes
• Fredholm equations for non-symmetric kernels with applications to iterated integral operators
• scientific article; zbMATH DE number 3466287 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Joint limiting distributions of maxima and minima for complete and incomplete samples from weakly dependent stationary sequences
• Large deviation principles for sequences of maxima and minima
• Limit laws for extremes of dependent stationary Gaussian arrays
• Limit properties of exceedances point processes of scaled stationary Gaussian sequences
• Maxima and minima of complete and incomplete stationary sequences
• Maxima and minima of stationary sequences
• Minima and maxima of elliptical arrays and spherical processes
• On a measure of lack of fit in time series models
• The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences
• The distribution of the maximum of a first order autoregressive process: The continuous case
• The distribution of the maximum of a first order moving average: the continuous case

Cited in

(4)

• The joint distribution of the sample minimum and maximum from a smooth distribution on \(\left[w_1, w_2\right]\)
• 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
• New examples of partial samples from the uniform \(\mathrm{AR}(1)\) process and asymptotic distributions of extremes

Describes a project that uses

Uses Software

• FitAR
• R

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