Extremal behavior of pMAX processes

DOI10.1016/J.SPL.2014.06.009MaRDI QIDQ395963zbMATH OpenOpenAlexFDO

Authors Marta Ferreira, Helena Ferreira

Publication date 8 August 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.7430

zbMATH Keywords

tail dependenceasymptotic independencemultivariate extreme value theoryextremal coefficientsmultivariate maxima of moving maxima (M4) process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

Abstract: 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 account for asymptotic independence. In this paper we introduce a more general multivariate model comprising asymptotic dependence and independence, which has the extended M4 class as a particular case. We study properties of the proposed model. In particular, we compute the multivariate extremal index, tail dependence and extremal coefficients.

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Cites work

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Cited in

(11)

• Modeling rare events through a \(p\)RARMAX process
• An alternative point process framework for modeling multivariate extreme values
• On the estimation and application of max-stable processes
• Four general multivariate stationary extremal Markovian processes
• A new random field on lattices
• Asymptotic dependence of bivariate maxima
• The behavior of multivariate maxima of moving maxima processes
• A generalization of Matérn hard-core processes with applications to max-stable processes
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Tail dependence and smoothness of time series
• Extremal properties of M4 processes

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