IDEAS home Printed from https://ideas.repec.org/a/spr/metrik/v74y2011i2p247-266.html
   My bibliography  Save this article

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

Author

Listed:
  • Christopher Withers
  • Saralees Nadarajah

Abstract

No abstract is available for this item.

Suggested Citation

  • Christopher Withers & Saralees Nadarajah, 2011. "The distribution of the maximum of a first order autoregressive process: the continuous case," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 247-266, September.
    • Handle: RePEc:spr:metrik:v:74:y:2011:i:2:p:247-266
    DOI: 10.1007/s00184-010-0301-0
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00184-010-0301-0
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00184-010-0301-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chernick, Michael R. & Davis, Richard A., 1982. "Extremes in autoregressive processes with uniform marginal distributions," Statistics & Probability Letters, Elsevier, vol. 1(2), pages 85-88, November.
    2. Borkovec, Milan, 2000. "Extremal behavior of the autoregressive process with ARCH(1) errors," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 189-207, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Withers, Christopher S. & Nadarajah, Saralees, 2014. "The distribution of the maximum of the multivariate AR(p) and multivariate MA(p) processes," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 48-56.
    2. Withers, Christopher S. & Nadarajah, Saralees, 2014. "The dual multivariate Charlier and Edgeworth expansions," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 76-85.
    3. Withers, Christopher S. & Nadarajah, Saralees, 2015. "The joint distribution of the maximum and minimum of an AR(1) process," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 77-84.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cline, Daren B.H., 2007. "Regular variation of order 1 nonlinear AR-ARCH models," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 840-861, July.
    2. Collamore, Jeffrey F. & Vidyashankar, Anand N., 2013. "Tail estimates for stochastic fixed point equations via nonlinear renewal theory," Stochastic Processes and their Applications, Elsevier, vol. 123(9), pages 3378-3429.
    3. Mladenovic, Pavle, 2009. "Maximum of a partial sample in the uniform AR(1) processes," Statistics & Probability Letters, Elsevier, vol. 79(11), pages 1414-1420, June.
    4. Ristic, Miroslav M. & Popovic, Biljana C., 2002. "The uniform autoregressive process of the second order (UAR(2))," Statistics & Probability Letters, Elsevier, vol. 57(2), pages 113-119, April.
    5. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    6. Min Chen & Dong Li & Shiqing Ling, 2014. "Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 189-202, May.
    7. Klüppelberg, Claudia & Pergamenchtchikov, Serguei, 2007. "Extremal behaviour of models with multivariate random recurrence representation," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 432-456, April.
    8. F. Laurini & J. A. Tawn, 2006. "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers 2006-SE01, Department of Economics, Parma University (Italy).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metrik:v:74:y:2011:i:2:p:247-266. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.