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A note on maximum autoregressive processes of order one

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  • M. ZAREPOUR
  • D. BANJEVIC

Abstract

We consider estimating the coefficient of a maximum autoregressive process of order one. Under a parametric assumption for innovations, the exact distribution of this estimate is calculated using a recursion method while, under the assumption that the distribution for the innovations has a regularly varying tail at infinity, we derive its limiting distribution.

Suggested Citation

  • M. Zarepour & D. Banjevic, 2002. "A note on maximum autoregressive processes of order one," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(5), pages 619-626, September.
    • Handle: RePEc:bla:jtsera:v:23:y:2002:i:5:p:619-626
    DOI: 10.1111/1467-9892.00281
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