Extremal properties of M4 processes

DOI10.1007/S11749-014-0358-6MaRDI QIDQ2513932zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 January 2015

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-014-0358-6

zbMATH Keywords

extremal indextail dependencemultivariate extremesM4 processesco-movement index

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• Asymptotic conditional distribution of exceedance counts
• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Bivariate extreme statistics. I
• Construction of asymmetric multivariate copulas
• Domains of attraction of multivariate extreme value distributions
• Estimating the multivariate extremal index function
• Extremal behavior of pMAX processes
• Multivariate maxima of moving multivariate maxima
• On approximating max-stable processes and constructing extremal copula functions
• On extremal dependence of block vectors
• On the estimation and application of max-stable processes
• Orthant tail dependence of multivariate extreme value distributions
• Point processes and multivariate extreme values
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
• The behavior of multivariate maxima of moving maxima processes
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution

Cited in

(5)

• A new blocks estimator for the extremal index
• Extremal behavior of pMAX processes
• Extremal (in)dependence of a maximum autoregressive process
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Asymptotically (in)dependent multivariate maxima of moving maxima process

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