4 citations · 15 across the 21 of their papers we have counts for
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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…
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…
Max-min dependence coefficients for Multivariate Extreme Value Distributions
Helena Ferreira
We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of…
Generating multivariate extreme value distributions
Helena Ferreira
We define in a probabilistic way a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and…