Multivariate extreme values in stationary random sequences

DOI10.1016/0304-4149(90)90125-CMaRDI QIDQ916246zbMATH OpenFDO

Authors J. Hüsler

Publication date 1990

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(90)90125-C

zbMATH Keywords

associationasymptotic distributions of multivariate extreme valuesasymptotic independenceCounterexampleslimit distributionsmixing conditionspositive and negative dependencestationary random sequences

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Stationary stochastic processes (60G10) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Review text

It is shown that the asymptotic distributions of multivariate extreme values of stationary random sequences satisfying light mixing conditions are associated positively. Some sufficient conditions are given for asymptotic independence. Counterexamples show that these results are not true for more general random sequences.

Recommendations

• Extreme value theory for multivariate stationary sequences
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• EXTREME VALUE THEORY FOR CERTAIN NON-STATIONARY SEQUENCES1

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Cited in

(28)

• 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
• Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
• Maxima of bivariate random vectors: Between independence and complete dependence
• Extreme value theory for multivariate stationary sequences
• Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution
• 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
• scientific article; zbMATH DE number 3883399 (Why is no real title available?)
• scientific article; zbMATH DE number 3872393 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 4109733 (Why is no real title available?)
• scientific article; zbMATH DE number 29666 (Why is no real title available?)
• scientific article; zbMATH DE number 1223602 (Why is no real title available?)
• scientific article; zbMATH DE number 1292118 (Why is no real title available?)
• scientific article; zbMATH DE number 1112311 (Why is no real title available?)
• Extremes in multivariate stationary normal sequences
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• Extreme value copula estimation based on block maxima of a multivariate stationary time series
• On the multivariate upcrossings index
• Almost sure limit theorems for multivariate general standard normal sequences and applications
• Bayesian clustering of multivariate extremes
• Estimation of Pickands dependence function of bivariate extremes under mixing conditions
• On the asymptotic distribution of certain bivariate reinsurance treaties

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