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Moments of Maximum: Segment of AR(1)

math.HO · 2019-08-12 · conditional · novelty 4.0

For a stationary AR(1) process, the expected value of the maximum of short contiguous segments is maximized at negative serial correlation, and the variance of the maximum increases monotonically with correlation.

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  • Moments of Maximum: Segment of AR(1) math.HO · 2019-08-12 · conditional · none · ref 3

    For a stationary AR(1) process, the expected value of the maximum of short contiguous segments is maximized at negative serial correlation, and the variance of the maximum increases monotonically with correlation.