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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| Format: | article |
| Language: | eng |
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2011
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| Online Access: | https://hdl.handle.net/1822/16202 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/16202 |