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  • Search: subject:"Fredholm kernel"
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Subject
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Fredholm kernel 3 Autoregressive process 2 Maximum 2 Autoregressive 1 Joint distribution 1 Minimum 1 Moving average 1 Multivariate maximum 1
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Undetermined 3
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Article 3
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Nadarajah, Saralees 3 Withers, Christopher S. 2 Withers, Christopher 1
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Statistics & Probability Letters 2 Metrika 1
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RePEc 3
Showing 1 - 3 of 3
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The joint distribution of the maximum and minimum of an AR(1) process
Withers, Christopher S.; Nadarajah, Saralees - In: Statistics & Probability Letters 99 (2015) C, pp. 77-84
Fredholm kernel. This enables good approximations for the joint distribution when n repeated integrals is not a practical …
Persistent link: https://www.econbiz.de/10011208303
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The distribution of the maximum of the multivariate AR(p) and multivariate MA(p) processes
Withers, Christopher S.; Nadarajah, Saralees - In: Statistics & Probability Letters 95 (2014) C, pp. 48-56
multivariate maximum Mn is then given as a weighted sum of the nth powers of the eigenvalues of a non-symmetric Fredholm kernel …
Persistent link: https://www.econbiz.de/10010939476
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The distribution of the maximum of a first order autoregressive process: the continuous case
Withers, Christopher; Nadarajah, Saralees - In: Metrika 74 (2011) 2, pp. 247-266
Persistent link: https://www.econbiz.de/10009324788
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