On the Maximum of a Bivariate INMA Model with Integer Innovations

We study the limiting behaviour of the maximum of a bivariate (finite or infinite) moving average model, based on discrete random variables. We assume that the bivariate distribution of the iid innovations belong to the Anderson’s class (Anderson, 1970). The innovations have an impact on the random...

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Detalles Bibliográficos
Autores principales: Hüsler, J., Temido, M. G., Valente-Freitas, A.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8852969/
https://www.ncbi.nlm.nih.gov/pubmed/35194392
http://dx.doi.org/10.1007/s11009-021-09920-3
Descripción
Sumario:We study the limiting behaviour of the maximum of a bivariate (finite or infinite) moving average model, based on discrete random variables. We assume that the bivariate distribution of the iid innovations belong to the Anderson’s class (Anderson, 1970). The innovations have an impact on the random variables of the INMA model by binomial thinning. We show that the limiting distribution of the bivariate maximum is also of Anderson’s class, and that the components of the bivariate maximum are asymptotically independent.

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