Multivariate maxima of moving multivariate maxima

DOI10.1016/J.SPL.2012.04.015MaRDI QIDQ449003zbMATH OpenOpenAlexFDO

Authors Helena Ferreira

Publication date 11 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.1390

zbMATH Keywords

tail dependencemultivariate extremal indexmultivariate extreme value distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)

Abstract: We define a class of multivariate maxima of moving multivariate maxima, generalising the M4 processes. For these stationary multivariate time series we characterise the joint distribution of extremes and compute the multivariate extremal index. We derive the bivariate upper tail dependence coefficients and the extremal coefficient of the new limiting multivariate extreme value distributions.

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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Cited in

(12)

• Extremal behavior of pMAX processes
• Extremes of multivariate ARMAX processes
• Dissecting the multivariate extremal index and tail dependence
• Rare events, temporal dependence, and the extremal index
• On the estimation and application of max-stable processes
• Maxima of moving maxima of continuous functions
• The behavior of multivariate maxima of moving maxima processes
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Extremal properties of M4 processes
• Multiple maxima in multivariate samples
• Multivariate modelling of spatial extremes based on copulas

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