Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model
Max-autoregressive models for time series data are useful when we want to make inference about rare events, mainly in areas like hydrology, geophysics and finance. Here we present a power max-autoregressive ($p$ARMAX) process, $\{X_i\}$, defined in such a way that the asymptotic tail dependence coef...
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| Format: | article |
| Language: | eng |
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2010
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| Online Access: | http://hdl.handle.net/1822/11078 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/11078 |