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.
Recommendations
- Semi parametric estimation of extremal index for ARMAX process with infinite variance
- Multivariate maxima of moving multivariate maxima
- Max-autoregressive and moving maxima models for extremes
- Regularly varying multivariate time series
- Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
Cites work
- scientific article; zbMATH DE number 4109747 (Why is no real title available?)
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series
- A thermal energy storage process with controlled input
- An Extreme-Type Limit Law for a Storage Process
- An M-estimator for tail dependence in arbitrary dimensions
- An extremal markovian sequence
- Asymptotically (in)dependent multivariate maxima of moving maxima process
- Basic properties and prediction of max-ARMA processes
- Bivariate extreme statistics. I
- Extremes and related properties of random sequences and processes
- Modeling rare events through a \(p\)RARMAX process
- Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
- Non-parametric Estimation of Tail Dependence
- On extremal dependence of block vectors
- On the multivariate extremal index
- Parameter estimation and dependence characterization of the MAR(1) process
- Statistical analysis of first-order MARMA processes
- Statistics for near independence in multivariate extreme values
- Tail and dependence behavior of levels that persist for a fixed period of time
- The estimation of M4 processes with geometric moving patterns
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
- The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
- scientific article; zbMATH DE number 6607889 (Why is no real title available?)
- The max-INAR(1) model for count processes
- Modeling rare events through a \(p\)RARMAX process
- On tail dependence: a characterization for first-order max-autoregressive processes
- Max-autoregressive and moving maxima models for extremes
- Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
- Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
- Stable sums to infer high return levels of multivariate rainfall time series
- Extremal (in)dependence of a maximum autoregressive process
This page was built for publication: Extremes of multivariate ARMAX processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q384759)
