The distribution of the maximum of a first order autoregressive process: The continuous case

DOI10.1007/S00184-010-0301-0zbMATH Open1230.62124arXiv1001.5265OpenAlexW2014156247MaRDI QIDQ641767FDOQ641767

Authors: Christopher S. Withers, Saralees Nadarajah 

Publication date: 25 October 2011

Published in: Metrika (Search for Journal in Brave)

Abstract: We give the distribution function of $M_n$, the maximum of a sequence of $n$ observations from an autoregressive process of order 2. Solutions are first given in terms of repeated integrals and then for the case, where the underlying random variables are absolutely continuous. When the correlations are positive, P(M_n leq x) =a_{n,x}, where a_{n,x}= sum_{j=1}^infty �eta_{jx}

u_{jx}^{n} = O (

u_{1x}^{n}), where $u_{jx}$ are the eigenvalues of a non-symmetric Fredholm kernel, and $u_{1x}$ is the eigenvalue of maximum magnitude. The weights $$ depend on the $j$th left and right eigenfunctions of the kernel. These results are large deviations expansions for estimates, since the maximum need not be standardized to have a limit. In fact such a limit need not exist.

Full work available at URL: https://arxiv.org/abs/1001.5265

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zbMATH Keywords

Fredholm kernel

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Applications of functional analysis in probability theory and statistics (46N30)

Cites Work

• Asymptotics of maxima of discrete random variables
• Extremal behavior of the autoregressive process with ARCH(1) errors
• Asymptotic analysis of extremes from autoregressive negative binomial processes
• Fredholm equations for non-symmetric kernels with applications to iterated integral operators
• Extremes in autoregressive processes with uniform marginal distributions
• Fredholm equations have uniformly convergent solutions
• Fredholm theory for arbitrary measure spaces
• Mercer's Theorem and Fredholm resolvents
• Tail behaviour and extremes of two-state Markov-switching autoregressive models

Cited In (13)

• Asymptotic distribution of maximal autoregressive process with weight tending to 1
• Computer experiments for the analysis of extreme-value phenomena
• The distribution of the maximum of an ARMA(1,1) process
• The dual multivariate Charlier and Edgeworth expansions
• The distribution of the maximum of a first-order moving average: the discrete case
• The distribution of the maximum of a first order moving average: the continuous case
• A note on maximum autoregressive processes of order one
• On the annual maximum distribution in dependent partial duration series
• The joint distribution of the maximum and minimum of an AR(1) process
• Extreme values of the uniform order 1 autoregressive processes and missing observations
• Extreme values of autocorrelated sequences
• The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
• Asymptotic analysis of extremes from autoregressive negative binomial processes

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