23 research outputs found
Sobre a precisão das estimativas de máxima verossimilhança nas distribuições bivariadas de valores extremos
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Characterizations and Examples of Hidden Regular Variation
Full text linkCharacterizations and Examples of Hidden Regular Variatio
On tail dependence : a characterization for first-order max-autoregressive processes.
No full textIn this paper, we consider first-orderMARMAorARMAXprocesses and amodified version
of these involving a power transformation, denoted pARMAX.We assume Pareto-type tails, the
most interesting case for inference within these processes. Some well-known dependencemeasures
of multivariate extreme value theory are considered in a time series framework. In calculating these
measures, we find that ARMAX and pARMAX have opposite behavior in concomitant extremes,
covering all types of tail dependence. This characterization will serve modeling purposes.Fundação para a Ciência e a Tecnologia (FCT
Testing for Tail Independence in Extreme Value models
No full textBivariate extremes, Pickands dependence function, Tail independence, Tail dependence parameter, Neyman–Pearson test, Kolmogorov–Smirnov test, Fisher’s κ, Chi-square goodness-of-fit test, Differentiable spectral neighborhood, Generalized Pareto distribution,
Software for the analysis of extreme events: The current state and future directions
No full text10.1007/s10687-006-7962-0Extremes8387-10
