Extremes of multivariate ARMAX processes
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Abstract: 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 result, we derive a new method of construction of multivariate extreme value copulas. 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 shall be presented. We also address the marginal estimation and propose a new estimator for the ARMAX autoregressive parameter.
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Cited in
(14)- Extremal behaviour of a periodically controlled sequence with imputed values
- Semi parametric estimation of extremal index for ARMAX process with infinite variance
- Multivariate extremes of random scores of particles in branching processes with max-linear heredity
- Extremes of scale mixtures of multivariate time series
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- Stable sums to infer high return levels of multivariate rainfall time series
- Extremal (in)dependence of a maximum autoregressive process
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