Extremal behavior of pMAX processes (Q395963)
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scientific article; zbMATH DE number 6327890
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| English | Extremal behavior of pMAX processes |
scientific article; zbMATH DE number 6327890 |
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Extremal behavior of pMAX processes (English)
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8 August 2014
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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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multivariate extreme value theory
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multivariate maxima of moving maxima (M4) process
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extremal coefficients
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asymptotic independence
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tail dependence
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0.860939085483551
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0.8338525891304016
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0.833058774471283
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0.8086100220680237
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0.7946581244468689
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