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

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)

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Cites work

• scientific article; zbMATH DE number 3942642 (Why is no real title available?)
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• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
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• Extremes and related properties of random sequences and processes
• Implicit renewal theory and tails of solutions of random equations
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• The positive false discovery rate: A Bayesian interpretation and the \(q\)-value

Cited in

(10)

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

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