Extremal (in)dependence of a maximum autoregressive process

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Ferreira, Marta Susana;
  • Subject: Extreme value theory | Autoregressive processes | Tail dependence | Asymptotic tail independence

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 versi... View more
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