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

DOI10.1007/S00184-010-0301-0MaRDI QIDQ641767zbMATH OpenOpenAlexFDO

Authors Christopher S. Withers, Saralees Nadarajah

Publication date 25 October 2011

Published in Metrika (Search for Journal in Brave)

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

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)

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.

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Cites work

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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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