On the Maximum of a Bivariate INMA Model with Integer Innovations

J. Hüsler (), M. G. Temido () and A. Valente-Freitas ()
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J. Hüsler: University of Bern
M. G. Temido: Department of Mathematics
A. Valente-Freitas: University of Aveiro

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 2373-2402

Abstract: Abstract 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.

Keywords: Bivariate maximum; INMA model; Integer random variables; limit distribution (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-021-09920-3

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