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math.ST2012★ 1 cited
Extremes of multivariate ARMAX processes
Marta Ferreira, Helena Ferreira
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…
math.ST2012
Extremal behavior of pMAX processes
Helena Ferreira, Marta Ferreira
The well-known M4 processes of Smith and Weissman are very flexible models for asymptotically dependent multivariate data. Extended M4 of Heffernan \emph{et al.} allows to also acc…
math.ST2012
Estimating the Upcrossings Index
João Renato Sebastião, Ana Paula Martins, Helena Ferreira +1
For stationary sequences, under general local and asymptotic dependence restrictions, any limiting point process for time normalized upcrossings of high levels is a compound Poisso…