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The distribution of the maximum of a first order moving average: the discrete case

Abstract

We give the distribution of MnM_n, the maximum of a sequence of nn 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 are discrete. When the correlation is positive, P(M_n \max^n_{i=1} X_i \leq x) = \sum_{j=1}^\infty \beta_{jx} \nu_{jx}^{n} \approx B_{x} r{1x}^{n} where {νjx}\{\nu_{jx}\} are the eigenvalues of a certain matrix, r1xr_{1x} is the maximum magnitude of the eigenvalues, and II depends on the number of possible values of the underlying random variables. The eigenvalues do not depend on xx only on its range.

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