The distribution of the maximum of a first order autoregressive process: the continuous case
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Withers, Christopher S. & Nadarajah, Saralees, 2014. "The dual multivariate Charlier and Edgeworth expansions," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 76-85.
- 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.
- 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.
More about this item
KeywordsAutoregressive process; Fredholm kernel; Maximum;
StatisticsAccess and download statistics
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.