Extremal (in)dependence of a maximum autoregressive process

DOI10.7151/DMPS.1150MaRDI QIDQ5250614zbMATH OpenOpenAlexFDO

Authors Marta Ferreira

Publication date 21 May 2015

Published in Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7151/dmps.1150

zbMATH Keywords

asymptotic tail independenceextreme value theorymaximum autoregressive processestail dependence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Cited in

(6)

• On the annual maximum distribution in dependent partial duration series
• Extremal behavior of the autoregressive process with ARCH(1) errors
• On tail dependence: a characterization for first-order max-autoregressive processes
• Extremal properties of M4 processes
• Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
• On the extremes of the max-INAR(1) process for time series of counts

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