Extremes of multivariate ARMAX processes

Marta Ferreira () and Helena Ferreira

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2013, vol. 22, issue 4, 606-627

Abstract: We define a new multivariate time series model by generalizing the ARMAX process in a multivariate way. We give conditions on stationarity and analyze local dependence and domains of attraction. As a consequence of the obtained results, we derive new multivariate extreme value distributions. We characterize the extremal dependence by computing the multivariate extremal index and bivariate upper tail dependence coefficients. An estimation procedure for the multivariate extremal index is presented. We also address the marginal estimation and propose a new estimator for the ARMAX autoregressive parameter. Copyright Sociedad de Estadística e Investigación Operativa 2013

Keywords: Multivariate extreme value theory; Maximum autoregressive processes; Multivariate extremal index; Tail dependence; Asymptotic independence; 60G70 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:22:y:2013:i:4:p:606-627

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DOI: 10.1007/s11749-013-0326-6

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