Basic properties and prediction of max-ARMA processes

DOI10.2307/1427767MaRDI QIDQ3203896zbMATH OpenOpenAlexFDO

Authors Richard A. Davis, Sidney I. Resnick

Publication date 1989

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/1813/8683

zbMATH Keywords

ARMA processescausalitydomain of attraction of extreme value distributionexistence of a stationary solutionMARMA processesMARMA recursionmax-autoregressive moving average processmax-linearmax-stable processesNecessary and sufficient conditionspredictionprobability of large errors

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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• Sparse moving maxima models for tail dependence in multivariate financial time series
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• The distribution of the maximum of an ARMA(1,1) process
• Models for autoregressive processes of bounded counts: how different are they?
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• Tail adversarial stability for regularly varying linear processes and their extensions
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• Clustering of extreme values: estimation and application
• Transformed-linear models for time series extremes
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• On the dependence of a minimum autoregressive exponential-type process
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• Mathematics, statistics, and geometry of extreme events in high dimensions. Abstracts from the workshop held August 19--23, 2024
• Extremal dependence measure and extremogram: the regularly varying case
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Modeling rare events through a \(p\)RARMAX process

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