Temat: dependence theory - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Estimating the extremal index through the tail dependence concept
Autorzy:: Ferreira, Marta
Powiązania:: https://bibliotekanauki.pl/articles/729770.pdf
Data publikacji:: 2015
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: extreme value theory
extremal index
tail dependence coefficient
Opis:: The extremal index Θ is an important parameter in extreme value analysis when extending results from independent and identically distributed sequences to stationary ones. A connection between the extremal index and the tail dependence coefficient allows the introduction of new estimators. The proposed ones are easy to compute and we analyze their performance through a simulation study. Comparisons with other existing methods are also presented. Case studies within environment are considered in the end.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2015, 35, 1-2; 61-74
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

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

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