Estimation of the parameter of a pARMAX model

MaRDI QIDQ2923377zbMATH OpenFDO

Authors Marta Ferreira

Publication date 15 October 2014

Published in REVSTAT (Search for Journal in Brave)

Full work available at URL http://www.ine.pt/revstat/pdf/rs100204.pdf

zbMATH Keywords

extreme value theorymax-autoregressive processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
• Modeling rare events through a \(p\)RARMAX process
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Cited in

(3)

• Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
• Parameter estimation and dependence characterization of the MAR(1) process
• Modeling rare events through a \(p\)RARMAX process

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