Extremal behavior of pMAX processes (Q395963): Difference between revisions

The authors introduce the power transformed multivariate maxima of moving maxima (M4) process which generalizes the extended M4 process studied in the literature. The new process includes both asymptotic dependence and independence models. Properties of the introduced process are studied; they include computing the marginal and the multivariate extremal index, tail dependence and extremal coefficients. An example and some notes on estimation are given.