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- W163800424 abstract "Nowadays it cannot be ignored the demand of various areas, like hydrology, geophysics or finances, on modeling extreme data or exceedance data above certain high levels. Most of the time, temporal dependence is present and it is usual to associate markovian sequences to data therein. Here it is presented the process ARMAX p whose parameter relates directly with the Ledford and Tawn coecient of tail dependence, , (Ledford and Tawn [5]). This index characterizes the penultimate tail dependence of a process and can be related with a threshold-dependent extremal index, which assumes an important role when extending discussions of extreme values from i.i.d. sequences to stationary ones (Bortot and Tawn [3])." @default.
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- W163800424 date "2010-01-01" @default.
- W163800424 modified "2023-09-23" @default.
- W163800424 title "Asymptotic and pre-asymptotic tail behavior of a power max-autoregressive model" @default.
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