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...
| Autor principal: | |
|---|---|
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2011
|
| Assuntos: | |
| Texto completo: | https://hdl.handle.net/1822/16202 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/16202 |