Extremes of multivariate ARMAX processes

Test

Volumn 22, Issue 4, 2013, Pages 606-627

  Ferreira, Marta ^a   Ferreira, Helena ^b  

^a UNIVERSITY OF MINHO   (Portugal)

^b UNIVERSITY OF BEIRA INTERIOR   (Portugal)

Author keywords

Asymptotic independence; Maximum autoregressive processes; Multivariate extremal index; Multivariate extreme value theory; Tail dependence

Indexed keywords

EID: 84886782643     PISSN: 11330686     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11749-013-0326-6     Document Type: Article

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