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A note on maximum autoregressive processes of order one |
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| Authors: | M. ZAREPOUR, & D. BANJEVIC |
| Affiliation: | University of Ottawa and University of Toronto |
| Abstract: | We consider estimating the coefficient of a maximum autoregressive process of order one. Under a parametric assumption for innovations, the exact distribution of this estimate is calculated using a recursion method while, under the assumption that the distribution for the innovations has a regularly varying tail at infinity, we derive its limiting distribution. |
| Keywords: | Asymptotic autoregressive process maximum autoregression parameter estimation regularly varying tail |