The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
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Publication:464462
DOI10.1016/j.spl.2014.08.009zbMath1302.62033MaRDI QIDQ464462
Saralees Nadarajah, Christopher S. Withers
Publication date: 27 October 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2014.08.009
62H10: Multivariate distribution of statistics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E15: Exact distribution theory in statistics
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Cites Work
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