English

The distribution of the maximum of a first order moving average: the discrete case

Methodology 2009-04-06 v3 Statistics Theory Statistics Theory

Abstract

We give the distribution of MnM_n, the maximum of a sequence of nn observations from a moving average of order 1. Solutions are first given in terms of repeated integrals and then for the case where the underlying independent random variables are discrete. When the correlation is positive, P(Mnmaxi=1nXix)=j=1βjxνjxnBxr1xn P(M_n \max^n_{i=1} X_i \leq x) = \sum_{j=1}^\infty \beta_{jx} \nu_{jx}^{n} \approx B_{x} r{1x}^{n} where {νjx}\{\nu_{jx}\} are the eigenvalues of a certain matrix, r1xr_{1x} is the maximum magnitude of the eigenvalues, and II depends on the number of possible values of the underlying random variables. The eigenvalues do not depend on xx only on its range.

Keywords

Cite

@article{arxiv.0802.0529,
  title  = {The distribution of the maximum of a first order moving average: the discrete case},
  author = {Christopher S. Withers and Saralees Nadarajah},
  journal= {arXiv preprint arXiv:0802.0529},
  year   = {2009}
}

Comments

13 pages. This version gives full solutions to the examples