The distribution of the maximum of a first-order moving average: The discrete casex

DOI10.1080/03610926.2014.927499zbMath1345.62126arXiv0802.0529OpenAlexW2131916327MaRDI QIDQ2816646

Christopher S. Withers, Saralees Nadarajah

Publication date: 25 August 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.0529

zbMATH Keywords

maximumdiscretemoving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Characteristic functions; other transforms (60E10)

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