On tail dependence : a characterization for first-order max-autoregressive processes.

In this paper, we consider first-orderMARMAorARMAXprocesses and amodified 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 dependencemeasures of multivariate extreme value th...

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Bibliographic Details
Main Author: Ferreira, Marta Susana (author)
Format: article
Language:eng
Published: 2011
Subjects:
Extreme value theory
Markov chains
Max-autoregressive processes
Tail dependence
ARMAX process
Science & Technology
Online Access:https://hdl.handle.net/1822/16202
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/16202
Description
Summary:In this paper, we consider first-orderMARMAorARMAXprocesses and amodified 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 dependencemeasures 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.

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