On the maximum of a bivariate infinite MA model with integer innovations (Preprint)
| <Reference List> | |
| Type: | Preprint |
| National /International: | International |
| Title: | On the maximum of a bivariate infinite MA model with integer innovations |
| Publication Date: | 2020-01-23 |
| Authors: |
- Jurg Husler
- Maria da Graça Temido - Adelaide Valente de Freitas |
| Abstract: | We study the limiting behaviour of the maximum of a bivariate moving average model, based on discrete random variables. We assume that the bivariate distribution of the innovations belong to the Anderson' class (Anderson, 1970). The innovations have an impact on the random variables of the MA model by binomial thinning. We show that the limiting distribution of the bivariate maximum is also of Anderson' class, and that the components of the bivariate maximum are asymptotically independent. |
| Institution: | DMUC 20-01 |
| Online version: | http://www.mat.uc.pt...prints/eng_2020.html |
| Download: | Not available |
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