Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/17880
Título: | On the extremal behavior of a Pareto process : an alternative for ARMAX modeling |
Autor(es): | Ferreira, Marta Susana |
Palavras-chave: | Extreme value theory Markov chains Autoregressive processes Tail dependence |
Data: | 2012 |
Editora: | Institute of Information Theory and Automation of Academy of Sciences of the Czech Republic |
Revista: | Kybernetika |
Resumo(s): | In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick , Ferreira and Canto e Castro). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as \emph{Yeh-Arnold-Robertson Pareto(III)} (Yeh et al.). We shall see that it is quite similar to the first order max-autoregressive ARMAX, but has a more robust parameter estimation procedure, being therefore more attractive for modeling purposes. Consistency and asymptotic normality of the presented estimators will also be stated. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/17880 |
ISSN: | 0023-5954 |
Versão da editora: | http://www.kybernetika.cz/content/2012/1/31/paper.pdf |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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paper.pdf Acesso restrito! | Documento principal | 414,17 kB | Adobe PDF | Ver/Abrir |