Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/24610

TitleExtremes of multivariate ARMAX processes
Author(s)Ferreira, Marta Susana
Ferreira, Helena
KeywordsMultivariate extreme value theory
Maximum autoregressive processes
Multivariate extremal index
Tail dependence
Asymptotic independence
Issue date2013
PublisherSpringer
JournalTEST
Abstract(s)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 results, we derive new multivariate extreme value distributions.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 is presented. We also address the marginal estimation and propose a new estimator for the ARMAX autoregressive parameter.
TypeArticle
URIhttp://hdl.handle.net/1822/24610
DOI10.1007/s11749-013-0326-6
ISSN1133-0686
Publisher versionhttp://link.springer.com/article/10.1007%2Fs11749-013-0326-6#
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

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