Extremes of multivariate ARMAX processes
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Publication:384759
DOI10.1007/s11749-013-0326-6zbMath1283.60080arXiv1212.1885MaRDI QIDQ384759
Marta Ferreira, Helena Ferreira
Publication date: 28 November 2013
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.1885
asymptotic independence; tail dependence; maximum autoregressive processes; multivariate extremal index; multivariate extreme value theory
60G70: Extreme value theory; extremal stochastic processes
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