The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes

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

zbMATH Keywords

autoregressive; moving average; Fredholm kernel; multivariate maximum

Mathematics Subject Classification ID

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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