Multivariate maxima of moving multivariate maxima (Q449003): Difference between revisions

Let \(\mathbf{Z}_{m,n}=(Z_{m,n,1},\dots,Z_{m,n,d})\), \(m\in\mathbb N\), \(n\in\mathbb Z\), be an array of independent copies of a random vector \(\mathbf Z\) with standard Fréchet margins and copula \(C_{\mathbf Z}\). A (stationary) multivariate maxima of moving multivariate maxima (M5) process is defined by \[ Y_{n,j}:=\max_{m\in\mathbb N}\max_{k\in\mathbb Z} \alpha_{m,k,j} Z_{m,n-k,j},\;j=1,\dots,d,\;n\in\mathbb N, \] where the nonnegative constants \(\alpha_{m,k,j}\) satisfy \[ \sum_{m\in\mathbb N}\sum_{k\in\mathbb Z} \alpha_{m,k,j}=1\;\text{for}\;j=1,\dots,d. \] Put \(\mathbf{Y_n}=(Y_{n,1},\dots,Y_{n,d})\). Under the condition that \[ C_{\mathbf{Z}}(u_1,\dots,u_d) ge\prod_{i=1}^du_i,\;(u_1,\dots,u_d)\in[0,1]^d, \] the following results are derived: the limiting joint distribution of the componentwise maxima of \(\mathbf{Y}_1,\dots,\mathbf{Y}_n\), the multivariate extremal index, the bivariate upper tail dependence coefficient and the extremal coefficient of the limiting multivariate extreme value distribution.