Extremes of multivariate ARMAX processes

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 chara...

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Bibliographic Details
Main Author: Ferreira, Marta Susana (author)
Other Authors: Ferreira, Helena (author)
Format: article
Language:eng
Published: 2013
Subjects:
Multivariate extreme value theory
Maximum autoregressive processes
Multivariate extremal index
Tail dependence
Asymptotic independence
Science & Technology
Online Access:http://hdl.handle.net/1822/24610
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/24610

Internet

http://hdl.handle.net/1822/24610

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