Estimating the multivariate extremal index function

DOI10.3150/08-BEJ145MaRDI QIDQ1002535zbMATH OpenOpenAlexFDO

Authors C. Y. Robert

Publication date 2 March 2009

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.1164

zbMATH Keywords

cluster-size distributionsexceedance point processesextreme value theorymultivariate extremal index function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures the degree of clustering of extremes in the multivariate process. In this paper, we construct nonparametric estimators of this function and prove their asymptotic normality under long-range dependence and moment conditions. The results are illustrated by means of a simulation study.

Recommendations

• On the multivariate extremal index
• Estimating a multidimensional extreme-value distribution
• Capturing the multivariate extremal index: bounds and interconnections
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• On the multivariate upcrossings index

Cites work

• A note on empirical processes of strong-mixing sequences
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Dependence estimation and visualization in multivariate extremes with applications to financial data
• Estimating a multidimensional extreme-value distribution
• Estimating the limit distribution of multivariate extremes
• Estimating the probability of a rare event
• Estimating the spectral measure of an extreme value distribution
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Extremal behaviour of stationary Markov chains with applications
• Extreme Value Theory for a Class of Markov Chains with Values in ℝ^d
• Extreme value theory for multivariate stationary sequences
• Extremes and related properties of random sequences and processes
• Functional central limit theorems for processes with positive drift and their inverses
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 597912 (Why is no real title available?)
• scientific article; zbMATH DE number 1944037 (Why is no real title available?)
• scientific article; zbMATH DE number 2042812 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Inference for Clusters of Extreme Values
• Inference for the limiting cluster size distribution of extreme values
• Markov chains and stochastic stability
• Measuring the extremal dependence
• Moving averages with random coefficients and random coefficient autoregressive models
• Multilevel clustering of extremes.
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• On blocks and runs estimators of the extremal index
• On the exceedance point process for a stationary sequence
• On the multivariate extremal index
• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
• Random difference equations and renewal theory for products of random matrices
• Statistics of Extremes
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Weak convergence and empirical processes. With applications to statistics
• Weak convergence for weighted empirical processes of dependent sequences
• Weak convergence of the tail empirical process for dependent sequences
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

Cited in

(15)

• An efficient semiparametric maxima estimator of the extremal index
• Excess functions and estimation of the extreme-value index
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Capturing the multivariate extremal index: bounds and interconnections
• Extremal properties of M4 processes
• Extremal behavior of pMAX processes
• scientific article; zbMATH DE number 597912 (Why is no real title available?)
• On the multivariate extremal index
• scientific article; zbMATH DE number 897978 (Why is no real title available?)
• Dissecting the multivariate extremal index and tail dependence
• A comparison of methods for estimating the extremal index
• Stable sums to infer high return levels of multivariate rainfall time series
• On extremes for Gaussian subordination

This page was built for publication: Estimating the multivariate extremal index function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1002535)