Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/27433
Título: | Extremal (in)dependence of a maximum autoregressive process |
Autor(es): | Ferreira, Marta Susana |
Palavras-chave: | Extreme value theory Autoregressive processes Tail dependence Asymptotic tail independence |
Data: | 2013 |
Revista: | Discussiones Mathematicae: Probability and Statistics |
Resumo(s): | Maximum autoregressive processes like MARMA (Davis and Resnick, [5] 1989) or power MARMA (Ferreira and Canto e Castro, [12] 2008) have singular joint distributions, an unrealistic feature in most applications. To overcome this pitfall, absolute continuous versions were presented in Alpuim and Athayde [2] (1990) and Ferreira and Canto e Castro [14] (2010b), respectively. We consider an extended version of absolute continuous maximum autoregressive processes that accommodates both asymptotic tail dependence and independence. A full characterization of the bivariate lag-m tail dependence is presented. This will be useful in an adjustment procedure of the model to real data. An illustration with financial data is presented at the end. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/27433 |
ISSN: | 1509-9423 |
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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martaferreira2.pdf Acesso restrito! | Documento principal | 1,16 MB | Adobe PDF | Ver/Abrir |