Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/11752
Título: | Estimation of the parameter of a pARMAX model |
Autor(es): | Ferreira, Marta Susana |
Palavras-chave: | Extreme value theory Max-autoregressive processes |
Data: | Nov-2010 |
Editora: | Instituto Nacional de Estatística (INE) |
Revista: | REVSTAT: Statistical Journal |
Resumo(s): | Max-autoregressive models for time series data are useful when we want to make inference about rare events, mainly in areas like hydrology, geophysics and finance. In fact, they are more convenient for analysis than heavy-tailed ARMA, as their finite-dimensional distributions can easily be written explicitly. The recent power max-autoregressive model (pARMAX) has the interesting feature of describing an asymptotic independent tail behavior, a property that can be observed in various data series. An estimator of the model parameter $c$ ($0<c<1$) is already available in the literature, but only in the restrictive case $c>1/2$. Here it is presented an estimator for all $c\in(0,1)$. Consistency and asymptotic normality are also stated. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/11752 |
ISSN: | 1645-6726 |
Versão da editora: | http://www.ine.pt/revstat/tables.html |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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abstract_referencias.pdf Acesso restrito! | Documento principal | 254,13 kB | Adobe PDF | Ver/Abrir |