Extremes of multivariate ARMAX processes

DOI10.1007/S11749-013-0326-6zbMATH Open1283.60080arXiv1212.1885OpenAlexW2063378723MaRDI QIDQ384759FDOQ384759

Authors: Marta Ferreira, Helena Ferreira 

Publication date: 28 November 2013

Published in: Test (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1212.1885

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zbMATH Keywords

tail dependenceasymptotic independencemaximum autoregressive processesmultivariate extremal indexmultivariate extreme value theory

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cited In (15)

• Modeling rare events through a \(p\)RARMAX process
• Extremal (in)dependence of a maximum autoregressive process
• Functional weak convergence of partial maxima processes
• Multivariate extremes of random scores of particles in branching processes with max-linear heredity
• Max-autoregressive and moving maxima models for extremes
• Semi parametric estimation of extremal index for ARMAX process with infinite variance
• Extremes of scale mixtures of multivariate time series
• Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
• Stable sums to infer high return levels of multivariate rainfall time series
• Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
• Extremal behaviour of a periodically controlled sequence with imputed values
• Title not available (Why is that?)
• The max-INAR(1) model for count processes
• The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
• On tail dependence: a characterization for first-order max-autoregressive processes

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