Modeling rare events through a \(p\)RARMAX process

DOI10.1016/J.JSPI.2010.05.024zbMath1372.62006OpenAlexW2004524424MaRDI QIDQ989285

Luísa Canto e Castro, Marta Ferreira

Publication date: 19 August 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.05.024

zbMATH Keywords

extreme value theoryclassification theoryBayes errorMax-autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (8)

Extremes of multivariate ARMAX processes ⋮ Asymptotic properties of extremal Markov processes driven by Kendall convolution ⋮ On tail dependence: a characterization for first-order max-autoregressive processes ⋮ The max-INAR(1) model for count processes ⋮ Detecting influential data points for the Hill estimator in Pareto-type distributions ⋮ Unnamed Item ⋮ Asymptotic dependence of bivariate maxima ⋮ Extremes of scale mixtures of multivariate time series

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