Extremes of multivariate ARMAX processes

DOI10.1007/S11749-013-0326-6zbMath1283.60080arXiv1212.1885OpenAlexW2063378723MaRDI QIDQ384759

Marta Ferreira, Helena Ferreira

Publication date: 28 November 2013

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.1885

zbMATH Keywords

asymptotic independencetail dependencemaximum autoregressive processesmultivariate extremal indexmultivariate extreme value theory

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (6)

The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes ⋮ The max-INAR(1) model for count processes ⋮ Extremal behaviour of a periodically controlled sequence with imputed values ⋮ Multivariate extremes of random scores of particles in branching processes with max-linear heredity ⋮ Extremes of scale mixtures of multivariate time series ⋮ Functional weak convergence of partial maxima processes

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