  Let $X_{t}$ denote a stationary first-order autoregressive process. Consider
five contiguous observations (in time $t$) of the series (e.g., $X_{1}, ...,
X_{5}$). Let $M$ denote the maximum of these. Let $\rho$ be the lag-one serial
correlation, which satisfies $|\rho| < 1$. For what value of $\rho$ is
$\mathbb{E}(M)$ maximized? How does $\mathbb{V}(M)$ behave for increasing
$\rho$? Answers to these questions lie in Afonja (1972), suitably decoded.
