The distribution of the maximum of the multivariate AR(p) and multivariate MA(p) processes

DOI10.1016/J.SPL.2014.08.009MaRDI QIDQ464462zbMATHOpenAlexFDO

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

zbMATH Keywords

autoregressivemoving averageFredholm kernelmultivariate maximum

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• scientific article; zbMATH DE number 3591295 (Why is no real title available?)
• scientific article; zbMATH DE number 5242364 (Why is no real title available?)
• Extremal behaviour of models with multivariate random recurrence representation
• Extreme value theory. An introduction.
• Extremes of multivariate ARMAX processes
• Fredholm equations for non-symmetric kernels with applications to iterated integral operators
• Spectral decomposition of the Renyi map
• The \(n\)th power of a matrix and approximations for large \(n\)
• 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
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution

Cited in

(6)

• 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
• Large deviations for posterior distributions on the parameter of a multivariate \(\mathrm{AR}(p)\) process
• The distribution of the maximum of an ARMA(1,1) process
• The joint distribution of the maximum and minimum of an AR(1) process
• Practical aspects of false alarm control for change point detection: beyond average run length

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