The distribution of the maximum of a first order autoregressive process: The continuous case
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Publication:641767
DOI10.1007/s00184-010-0301-0zbMath1230.62124arXiv1001.5265MaRDI QIDQ641767
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F10: Large deviations
46N30: Applications of functional analysis in probability theory and statistics
Related Items
The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes, The distribution of the maximum of a first order moving average: the continuous case, The distribution of the maximum of an ARMA(1,1) process, The joint distribution of the maximum and minimum of an AR(1) process, The dual multivariate Charlier and Edgeworth expansions
Cites Work
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- Fredholm equations for non-symmetric kernels with applications to iterated integral operators
- Asymptotic analysis of extremes from autoregressive negative binomial processes
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- Mercer's Theorem and Fredholm resolvents