Extremal (in)dependence of a maximum autoregressive process

Marta Ferreira

Discussiones Mathematicae Probability and Statistics, Tome 33 (2013), p. 47-64 / Harvested from The Polish Digital Mathematics Library

Résumé

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.

Détail

Publié le : 2013-01-01

Zbl 1321.60109

EUDML-ID : urn:eudml:doc:270885

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