Extremes of multivariate ARMAX processes

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

zbMATH Keywords

asymptotic independence; tail dependence; maximum autoregressive processes; multivariate extremal index; multivariate extreme value theory

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

Related Items

Functional weak convergence of partial maxima processes, The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes, Extremal behaviour of a periodically controlled sequence with imputed values, The max-INAR(1) model for count processes, 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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