The distribution of the maximum of an ARMA(1, 1) process
The distribution of the maximum of an ARMA(1, 1) process
We give the cumulative distribution function of M n =maxX 1 ,...,X n , the maximum of a sequence of n observations from an ARMA(1, 1) process. Solutions are first given in terms of repeated integrals and then for the case, where the underlying random variables are absolutely continuous. The …