The distribution of the maximum of a first order moving average : the continuous case http : / / arxiv . org / abs / 0802
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چکیده
We give the distribution of Mn, the maximum of a sequence of n observations from a moving average of order 1. Solutions are first given in terms of repeated integrals and then for the case where the underlying independent random variables have an absolutely continuous density. When the correlation is positive , P (Mn ≤ x) = ∞
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تاریخ انتشار 2009