The distribution of the maximum of a first order autoregressive process: the continuous case
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Volume (Year): 74 (2011)
Issue (Month): 2 (September)
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- 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.
- 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.
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