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

asymptotic independenceextremal coefficientsmultivariate extreme value theorymultivariate maxima of moving maxima (M4) processtail dependence

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.

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.

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Cites work

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Cited in

(11)

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

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