A note on maximum autoregressive processes of order one

DOI10.1111/1467-9892.00281zbMATH Open1062.62209OpenAlexW3123881103MaRDI QIDQ4677012FDOQ4677012

Authors:

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00281

Recommendations

• Parameter estimation and dependence characterization of the MAR(1) process
• Basic properties and prediction of max-ARMA processes
• Estimation for first-order autoregressive processes with positive or bounded innovations
• The distribution of the maximum of a first order autoregressive process: The continuous case
• Statistical analysis of first-order MARMA processes

zbMATH Keywords

parameter estimationregularly varying tailasymptotic autoregressive processmaximum autoregression

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• M-estimation for autoregression with infinite variance
• Estimation for first-order autoregressive processes with positive or bounded innovations
• Limit distributions for linear programming time series estimators

Cited In (7)

• Asymptotic distribution of maximal autoregressive process with weight tending to 1
• Parameter estimation and dependence characterization of the MAR(1) process
• Title not available (Why is that?)
• Nonlinear prediction in max-autoregressive processes
• Statistical analysis of first-order MARMA processes
• Basic properties and prediction of max-ARMA processes
• The distribution of the maximum of a first order autoregressive process: The continuous case

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