The distribution of the maximum of the multivariate AR(p) and multivariate MA(p) processes
DOI10.1016/J.SPL.2014.08.009zbMATH Open1302.62033OpenAlexW2089147674MaRDI QIDQ464462FDOQ464462
Authors: Christopher S. Withers, Saralees Nadarajah 
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
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- Extremal behaviour of models with multivariate random recurrence representation
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- The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
- Fredholm equations for non-symmetric kernels with applications to iterated integral operators
- The \(n\)th power of a matrix and approximations for large \(n\)
- Spectral decomposition of the Renyi map
- 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
Cited In (6)
- The distribution of the maximum of an ARMA(1,1) process
- Practical aspects of false alarm control for change point detection: beyond average run length
- 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
- The joint distribution of the maximum and minimum of an AR(1) process
- Large deviations for posterior distributions on the parameter of a multivariate \(\mathrm{AR}(p)\) process
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