The distribution of the maximum of an ARMA(1, 1) process
We give the cumulative distribution function of $M_n=\max \left(X_1, \ldots , X_n \right)$, the maximum of a sequence of $n$ observations from an ARMA(1, 1) process. Solutions are first given in terms of repeated integrals and then for the case, where the underlying random variables are absolutely c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Académie des sciences
2020-12-01
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| Series: | Comptes Rendus. Mathématique |
| Online Access: | https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.111/ |