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

DOI10.1007/s00184-010-0301-0zbMath1230.62124arXiv1001.5265OpenAlexW2014156247MaRDI QIDQ641767

Christopher S. Withers, Saralees Nadarajah

Publication date: 25 October 2011

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.5265

zbMATH Keywords

Fredholm kernel

Mathematics Subject Classification ID

Related Items (5)

The distribution of the maximum of an ARMA(1,1) process ⋮ The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes ⋮ The dual multivariate Charlier and Edgeworth expansions ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ The joint distribution of the maximum and minimum of an AR(1) process

Cites Work

• Tail behaviour and extremes of two-state Markov-switching autoregressive models
• Extremes in autoregressive processes with uniform marginal distributions
• Fredholm equations have uniformly convergent solutions
• Asymptotics of maxima of discrete random variables
• Extremal behavior of the autoregressive process with ARCH(1) errors
• Fredholm equations for non-symmetric kernels with applications to iterated integral operators
• Asymptotic analysis of extremes from autoregressive negative binomial processes
• Fredholm theory for arbitrary measure spaces
• Mercer's Theorem and Fredholm resolvents

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