On tail dependence: a characterization for first-order max-autoregressive processes

DOI10.1134/S0001434611110277zbMath1281.62196MaRDI QIDQ2435884

Marta Ferreira

Publication date: 20 February 2014

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

Markov chains; extreme value theory; ARMAX process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G32: Statistics of extreme values; tail inference

Related Items

Multivariate extremes of random scores of particles in branching processes with max-linear heredity

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