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Asymptotic distribution of maximal autoregressive process with weight tending to 1

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Abstract

The maximal operator plays the similar role as the summation operator in the sense of stability of operation. So, we could discussARMA processes in the maximal operation by the same way as in the summation operation. However, many papers already treated with moving order statistics. In this paper, we discuss asymptotic behaviors of maximal autoregressive (MAR) processes with the weight tending to 1.

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Authors and Affiliations

  1. Department of Mathematical Science, Osaka University, 560, Toyonaka, Osaka, Japan

    Nobuo Inagaki

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  1. Nobuo Inagaki
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Inagaki, N. Asymptotic distribution of maximal autoregressive process with weight tending to 1. Ann Inst Stat Math 46, 633–640 (1994). https://doi.org/10.1007/BF00773472

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  • DOI: https://doi.org/10.1007/BF00773472

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