On the dependence of a minimum autoregressive exponential-type process

Marta Ferreira

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 20, 6527-6535

Abstract: Globalization has led to the growth of interrelations in the most varied contexts. The risk inherent in an increase in dependence between the different variables is now a concern of analysts and researchers. The dependence at the tail level is a very useful tool in the evaluation of risk and can be analyzed in the scope of the theory of extreme values. In this work, we consider an autoregressive model of minima with several applications already explored in the literature and contribute to the characterization of its extreme correlation structure.

Date: 2025
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DOI: 10.1080/03610926.2025.2458194

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