Asymptotic Results for an Extreme Value Estimator of the Autocorrelation Coefficient for a First Order Autoregressive Sequence

@inproceedings{Mccormick1989AsymptoticRF,
  title={Asymptotic Results for an Extreme Value Estimator of the Autocorrelation Coefficient for a First Order Autoregressive Sequence},
  author={W. P. Mccormick and George Mathew},
  year={1989}
}
For an AR(1) process with positive or bounded innovations, an estimate of the autocorrelation coefficient based on an extreme value statistic is proposed. Asymptotic properties are investigated. In particular, an asymptotic essentially nonparametric confidence interval for the autocorrelation coefficient is derived.