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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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
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author Hüsler, J.
Temido, M. G.
Valente-Freitas, A.
author_facet Hüsler, J.
Temido, M. G.
Valente-Freitas, A.
author_sort Hüsler, J.
collection PubMed
description 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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spelling pubmed-88529692022-02-18 On the Maximum of a Bivariate INMA Model with Integer Innovations Hüsler, J. Temido, M. G. Valente-Freitas, A. Methodol Comput Appl Probab Article 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. Springer US 2022-02-15 2022 /pmc/articles/PMC8852969/ /pubmed/35194392 http://dx.doi.org/10.1007/s11009-021-09920-3 Text en © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Hüsler, J.
Temido, M. G.
Valente-Freitas, A.
On the Maximum of a Bivariate INMA Model with Integer Innovations
title On the Maximum of a Bivariate INMA Model with Integer Innovations
title_full On the Maximum of a Bivariate INMA Model with Integer Innovations
title_fullStr On the Maximum of a Bivariate INMA Model with Integer Innovations
title_full_unstemmed On the Maximum of a Bivariate INMA Model with Integer Innovations
title_short On the Maximum of a Bivariate INMA Model with Integer Innovations
title_sort on the maximum of a bivariate inma model with integer innovations
topic Article
url 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
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