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

multivariate extremal indexmultivariate extreme value distributiontail dependence

Mathematics Subject Classification ID

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

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.

Review text

Let \(\mathbf{Z}_{m,n}=(Z_{m,n,1},\dots,Z_{m,n,d})\), \(m\in\mathbb N\), \(n\in\mathbb Z\), be an array of independent copies of a random vector \(\mathbf Z\) with standard Fréchet margins and copula \(C_{\mathbf Z}\). A (stationary) multivariate maxima of moving multivariate maxima (M5) process is defined by NEWLINE\[NEWLINEY_{n,j}:=\max_{m\in\mathbb N}\max_{k\in\mathbb Z} \alpha_{m,k,j} Z_{m,n-k,j},\;j=1,\dots,d,\;n\in\mathbb N,NEWLINE\]NEWLINE where the nonnegative constants \(\alpha_{m,k,j}\) satisfy NEWLINE\[NEWLINE\sum_{m\in\mathbb N}\sum_{k\in\mathbb Z} \alpha_{m,k,j}=1\;\text{for}\;j=1,\dots,d.NEWLINE\]NEWLINE Put \(\mathbf{Y_n}=(Y_{n,1},\dots,Y_{n,d})\). Under the condition that NEWLINE\[NEWLINEC_{\mathbf{Z}}(u_1,\dots,u_d) ge\prod_{i=1}^du_i,\;(u_1,\dots,u_d)\in[0,1]^d,NEWLINE\]NEWLINE the following results are derived:NEWLINENEWLINE the limiting joint distribution of the componentwise maxima of \(\mathbf{Y}_1,\dots,\mathbf{Y}_n\), the multivariate extremal index, the bivariate upper tail dependence coefficient and the extremal coefficient of the limiting multivariate extreme value distribution.

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Cites work

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Cited in

(12)

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

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