The distribution of the maximum of a first order moving average: the continuous case

DOI10.1007/S10687-013-0172-7zbMath1305.62082arXiv0802.0523OpenAlexW2110039846MaRDI QIDQ483511

Christopher S. Withers, Saralees Nadarajah

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.0523

zbMATH Keywords

maximummoving averagerainfallFredholm kernel

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Exact distribution theory in statistics (62E15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (5)

The distribution of the maximum of an ARMA(1,1) process ⋮ The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes ⋮ The dual multivariate Charlier and Edgeworth expansions ⋮ The distribution of the maximum of a first-order moving average: The discrete casex ⋮ The joint distribution of the maximum and minimum of an AR(1) process

Uses Software

• R

Cites Work

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