Modeling rare events through a pRARMAX process

DOI10.1016/J.JSPI.2010.05.024zbMATH Open1372.62006OpenAlexW2004524424MaRDI QIDQ989285FDOQ989285

Authors: Marta Ferreira, Luísa Canto e Castro 

Publication date: 19 August 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.05.024

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• Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
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zbMATH Keywords

extreme value theoryclassification theoryBayes errorMax-autoregressive models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Cites Work

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Cited In (9)

• Extremes of multivariate ARMAX processes
• Asymptotic dependence of bivariate maxima
• Extremes of scale mixtures of multivariate time series
• Asymptotic properties of extremal Markov processes driven by Kendall convolution
• Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
• On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
• Detecting influential data points for the Hill estimator in Pareto-type distributions
• The max-INAR(1) model for count processes
• On tail dependence: a characterization for first-order max-autoregressive processes

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