In order to capture the dependence in the upper tail of a time series, we develop non-negative regularly-varying time series models that are constructed similarly to classical non-extreme ARMA models. Rather than fully characterizing tail dependence of the time series, we define the concept of weak tail stationarity which allows us to describe a regularly-varying time series through the tail pairwise dependence function (TPDF) which is a measure of pairwise extremal dependencies. We state consistency requirements among the finite-dimensional collections of the elements of a regularly-varying time series and show that the TPDF's value does not depend on the dimension being considered. So that our models take nonnegative values, we use transformed-linear operations. We show existence and stationarity of these models, and develop their properties such as the model TPDF's. Additionally, we show the class of transformed-linear MA($\infty$) models forms an inner product space. Motivated by investigating conditions conducive to the spread of wildfires, we fit models to hourly windspeed data and find that the fitted transformed-linear models produce better estimates of upper tail quantities than traditional ARMA models or than classical linear regularly varying models.
翻译:为了捕捉时间序列尾尾部的依赖性,我们开发了与古典非极端ARMA模型相似的不消极定期变化的时间序列模型。我们没有完全描述时间序列尾部依赖性的特征,而是定义了弱尾部静态概念,使我们能够通过尾尾部双向依赖功能(TPDF)描述定期变化的时间序列,这是衡量双向极端依赖性的一种尺度。我们说明了定期变化的时间序列元素的有限尺寸集合的一致性要求,并表明TPDF的价值并不取决于所考虑的维度。因此,我们的模型采用了非负值,我们使用了转型线性操作。我们展示了这些模型的存在和稳定性,并开发了这些模型的属性,如TPDF的模型。此外,我们展示了变换线型MA($/infty$)模型的等级,形成了一个内部产品空间。我们通过调查有利于野火扩散的条件来激发活力,我们把模型与小时风速数据相匹配,我们发现,并且发现,与时速模型相比,我们使用变型的正态模型比AMA模型的成熟的直线型模型定期得出更好的数据。