Extreme value theory for multivariate stationary sequences
From MaRDI portal
The author considers multivariate extremal type theorems and some related problems in a setting where the assumptions of independence and linear normalization in the classical setting are weakened. For a stationary sequence of random vectors he introduces a distributional mixing condition which is an obvious extension of \textit{M. R. Leadbetter}'s condition \(D(u_ n)\) in the one-dimensional case [Z. Wahrscheinlichkeitstheorie verw. Gebiete 28, 289-303 (1974; Zbl 0265.60019)]. For a sequence satisfying this condition the following topics are studied. (1) To obtain characterizations of the weak limit F of properly normalized partial maxima. (2) To study a condition under which the partial maxima behave as they would if the sequence were i.i.d. (3) To consider problems in connection with the independence of the margins of F.
Recommendations
- Multivariate extreme values in stationary random sequences
- Multivariate extreme value distributions for stationary Gaussian sequences
- Extremes in multivariate stationary normal sequences
- EXTREME VALUE THEORY FOR CERTAIN NON-STATIONARY SEQUENCES1
- scientific article; zbMATH DE number 4109733
- scientific article; zbMATH DE number 29666
- scientific article; zbMATH DE number 4143234
- Extreme values for stationary and Markov sequences
Cites work
- A note on the asymptotic independence of high level crossings for dependent Gaussian processes
- Asymptotic Independence of Vector Components of Multivariate Extreme Order Statistics
- Bivariate extreme statistics. I
- Convergence to bivariate limiting extreme value distributions
- Extreme Values in Samples from m-Dependent Stationary Stochastic Processes
- Extreme Values in Uniformly Mixing Stationary Stochastic Processes
- Extremes and related properties of random sequences and processes
- scientific article; zbMATH DE number 3644242 (Why is no real title available?)
- scientific article; zbMATH DE number 3969904 (Why is no real title available?)
- scientific article; zbMATH DE number 3592801 (Why is no real title available?)
- scientific article; zbMATH DE number 3615606 (Why is no real title available?)
- scientific article; zbMATH DE number 3615623 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3080943 (Why is no real title available?)
- Limit laws for the maximum and minimum of stationary sequences
- Limit Theorems for the Maximum Term in Stationary Sequences
- Limit theory for multivariate sample extremes
- Max-infinite divisibility
- Maxima and minima of stationary sequences
- Multivariate extreme value distributions for stationary Gaussian sequences
- On extreme values in stationary sequences
- Point processes and multivariate extreme values
Cited in
(44)- Estimating the multivariate extremal index function
- Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
- Extremes of space-time Gaussian processes
- Multivariate extreme value distributions for stationary Gaussian sequences
- Extreme values in FGM random sequences
- Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
- On multidimensional domains of attraction for stationary sequences
- Maxima of bivariate random vectors: Between independence and complete dependence
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Measuring the extremal dependence
- Multiple block sizes and overlapping blocks for multivariate time series extremes
- On the maximum of a bivariate INMA model with integer innovations
- Limiting distribution of extreme values for FGM random sequences
- Copula structured M4 processes with application to high-frequency financial data
- scientific article; zbMATH DE number 3868344 (Why is no real title available?)
- scientific article; zbMATH DE number 3872393 (Why is no real title available?)
- Extreme value distributions of mixing two sequences with the same MDA
- Rare events, temporal dependence, and the extremal index
- scientific article; zbMATH DE number 4143234 (Why is no real title available?)
- EXTREME VALUE THEORY FOR CERTAIN NON-STATIONARY SEQUENCES1
- Clustering of Markov chain exceedances
- scientific article; zbMATH DE number 4007335 (Why is no real title available?)
- Calculating the extremal index for a class of stationary sequences
- scientific article; zbMATH DE number 1112311 (Why is no real title available?)
- Extremes in multivariate stationary normal sequences
- scientific article; zbMATH DE number 218895 (Why is no real title available?)
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- Asymptotics of Markov kernels and the tail chain
- On the multivariate upcrossings index
- Asymptotic dependence of bivariate maxima
- Dependence between two multivariate extremes
- Asymptotics of joint maxima for discontinuous random variables
- New estimators of the Pickands dependence function and a test for extreme-value dependence
- Limit theorems for non-degenerate U-statistics of block maxima for time series
- Predicting extreme surges from sparse data using a copula-based hierarchical Bayesian spatial model
- Extreme values in stationary sequences
- Multivariate extreme values for dynamical systems
- Bootstrapping estimators based on the block maxima method
- Estimation of Pickands dependence function of bivariate extremes under mixing conditions
- The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
- Rank-based inference for bivariate extreme-value copulas
- Multivariate extreme values in stationary random sequences
- Asymptotically (in)dependent multivariate maxima of moving maxima process
- On the link between dependence and independence in extreme value theory for dynamical systems
This page was built for publication: Extreme value theory for multivariate stationary sequences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1822865)
