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Matematicheskie Zametki, 2011, Volume 90, Issue 6, Pages 902–917
DOI: https://doi.org/10.4213/mzm8666 (Mi mzm8666) 		 
This article is cited in 3 scientific papers (total in 3 papers)

On Tail Dependence: A Characterization for First-Order Max-Autoregressive Processes

M. Ferreira

University of Minho
Full-text PDF (671 kB) Citations (3)
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DOI: https://doi.org/10.4213/mzm8666
Abstract: In this paper, we consider first-order MARMA or ARMAX processes and a modified version of these involving a power transformation, denoted pARMAX. We assume Pareto-type tails, the most interesting case for inference within these processes. Some well-known dependence measures of multivariate extreme value theory are considered in a time series framework. In calculating these measures, we find that ARMAX and pARMAX have opposite behavior in concomitant extremes, covering all types of tail dependence. This characterization will serve modeling purposes.
Keywords: extreme value theory, Markov chains, max-autoregressive processes, tail dependence, ARMAX process.
Received: 10.12.2009
English version:
Mathematical Notes, 2011, Volume 90, Issue 6, Pages 882–893
DOI: https://doi.org/10.1134/S0001434611110277
Bibliographic databases:
Document Type: Article
UDC: 519.218
Language: Russian
Citation: M. Ferreira, “On Tail Dependence: A Characterization for First-Order Max-Autoregressive Processes”, Mat. Zametki, 90:6 (2011), 902–917; Math. Notes, 90:6 (2011), 882–893
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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