The distribution of the maximum of the multivariate <mml:math altimg="si6.gif" display="inline" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd" xmlns:sa="http://www.elsevier.com/xml/common/struct-aff/dtd"><mml:mstyle mathvariant="normal"><mml:mi>AR</mml:mi></mml:mstyle><mml:mrow><mml:mo>(</mml:mo><mml:mi>p</mml:mi><mml:mo>)</mml:mo></mml:mrow></mml:math> and multivariate <mml:math altimg="si7.gif" display="inline" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd" xmlns:sa="http://www.elsevier.com/xml/common/struct-aff/dtd"><mml:mstyle mathvariant="normal"><mml:mi>MA</mml:mi></mml:mstyle><mml:mrow><mml:mo>(</mml:mo><mml:mi>p</mml:mi><mml:mo>)</mml:mo></mml:mrow></mml:math> processes-Reference-Cited by-同舟云学术

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The distribution of the maximum of the multivariate AR(p) and multivariate MA(p) processes

Published:2014-12 Issue: Volume:95 Page:48-56
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Withers Christopher S.,Nadarajah Saralees

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference16 articles.

1. Spectral decomposition of the Rényi map;Antoniou;J. Phys. A: Math. Gen.,1993

2. Extremal properties of a class of multivariate moving averages (with discussion);Davis;Bulletin de l’Institut International de Statistique,1985

3. Extreme Value Theory: An Introduction;de Haan,2006

4. Extremes of multivariate ARMAX processes;Ferreira;TEST,2013

5. The Asymptotic Theory of Extreme Order Statistics;Galambos,1987

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Practical Aspects of False Alarm Control for Change Point Detection: Beyond Average Run Length;Methodology and Computing in Applied Probability;2018-05-17

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