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

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

zbMATH Keywords

Fredholm kernel

Mathematics Subject Classification ID

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

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