Extremal behavior of pMAX processes (Q395963): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / review text | |||
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. | |||
| Property / review text: 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. / rank | |||
Normal rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Sreenivasan Ravi / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G70 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62E20 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6327890 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
multivariate extreme value theory | |||
| Property / zbMATH Keywords: multivariate extreme value theory / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
multivariate maxima of moving maxima (M4) process | |||
| Property / zbMATH Keywords: multivariate maxima of moving maxima (M4) process / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
extremal coefficients | |||
| Property / zbMATH Keywords: extremal coefficients / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
asymptotic independence | |||
| Property / zbMATH Keywords: asymptotic independence / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
tail dependence | |||
| Property / zbMATH Keywords: tail dependence / rank | |||
Normal rank | |||
Revision as of 16:17, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extremal behavior of pMAX processes |
scientific article |
Statements
Extremal behavior of pMAX processes (English)
0 references
8 August 2014
0 references
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.
0 references
multivariate extreme value theory
0 references
multivariate maxima of moving maxima (M4) process
0 references
extremal coefficients
0 references
asymptotic independence
0 references
tail dependence
0 references
