Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/24610
Título: | Extremes of multivariate ARMAX processes |
Autor(es): | Ferreira, Marta Susana Ferreira, Helena |
Palavras-chave: | Multivariate extreme value theory Maximum autoregressive processes Multivariate extremal index Tail dependence Asymptotic independence |
Data: | 2013 |
Editora: | Springer |
Revista: | TEST |
Resumo(s): | We define a new multivariate time series model by generalizing the ARMAX process in a multivariate way. We give conditions on stationarity and analyze local dependence and domains of attraction. As a consequence of the obtained results, we derive new multivariate extreme value distributions.We characterize the extremal dependence by computing the multivariate extremal index and bivariate upper tail dependence coefficients. An estimation procedure for the multivariate extremal index is presented. We also address the marginal estimation and propose a new estimator for the ARMAX autoregressive parameter. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/24610 |
DOI: | 10.1007/s11749-013-0326-6 |
ISSN: | 1133-0686 |
Versão da editora: | http://link.springer.com/article/10.1007%2Fs11749-013-0326-6# |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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darmaxp1_corr3.pdf Acesso restrito! | Documento principal | 435,35 kB | Adobe PDF | Ver/Abrir |