Asymptotic distribution of maximal autoregressive process with weight tending to 1

DOI10.1007/BF00773472zbMath0822.62009MaRDI QIDQ1895420

Nobuo Inagaki

Publication date: 18 October 1995

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

maximal operatorextreme value distributionARMA processesmaximal autoregressive processesmaximum of weighted random variablesstability coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Limit laws for the maximum of weighted and shifted i.i.d. random variables
• Some theory of nonlinear smoothers
• Sur la distribution limite du terme maximum d'une série aléatoire
• On the stationary distribution of some extremal Markovian sequences
• An extremal markovian sequence