- Tytuł:
- Extremal (in)dependence of a maximum autoregressive process
- Autorzy:
- Ferreira, Marta
- Powiązania:
- https://bibliotekanauki.pl/articles/729856.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
extreme value theory
autoregressive processes
tail dependence
asymptotic tail independence - Opis:
- Maximum autoregressive processes like MARMA (Davis and Resnick, [5] 1989) or power MARMA (Ferreira and Canto e Castro, [12] 2008) have singular joint distributions, an unrealistic feature in most applications. To overcome this pitfall, absolute continuous versions were presented in Alpuim and Athayde [2] (1990) and Ferreira and Canto e Castro [14] (2010b), respectively. We consider an extended version of absolute continuous maximum autoregressive processes that accommodates both asymptotic tail dependence and independence. A full characterization of the bivariate lag-m tail dependence is presented. This will be useful in an adjustment procedure of the model to real data. An illustration with financial data is presented at the end.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2013, 33, 1-2; 47-64
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł