Extremes of multivariate ARMAX processes (Q384759)
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scientific article; zbMATH DE number 6234363
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| English | Extremes of multivariate ARMAX processes |
scientific article; zbMATH DE number 6234363 |
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Extremes of multivariate ARMAX processes (English)
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28 November 2013
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multivariate extreme value theory
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maximum autoregressive processes
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multivariate extremal index
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tail dependence
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asymptotic independence
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0.8387899398803711
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0.8229556083679199
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0.808833658695221
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0.8085662722587585
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