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

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  • Christopher Withers
  • Saralees Nadarajah

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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
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    References listed on IDEAS

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    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.
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    Cited by:

    1. Withers, Christopher S. & Nadarajah, Saralees, 2014. "The dual multivariate Charlier and Edgeworth expansions," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 76-85.
    2. 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.
    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.

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