Point processes and multivariate extreme values

From MaRDI portal
Publication:1054368

DOI10.1016/0047-259X(83)90025-8zbMath0519.60045MaRDI QIDQ1054368

Paul Deheuvels

Publication date: 1983

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)




Related Items (43)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measuresMultivariate extremes and max-stable processes: discussion of the paper by Zhengjun ZhangAn extended sparse max-linear moving model with application to high-frequency financial dataExtreme value theory for suprema of random variables with regularly varying tail probabilitiesCopula structured M4 processes with application to high-frequency financial dataON THE ORDERING OF ASYMPTOTIC PAIRWISE NEGATIVELY DEPENDENT STRUCTURE OF STOCHASTIC PROCESSESEstimating the extremal index through local dependenceEfficient estimation and particle filter for max-stable processesLocal asymptotic normality in a stationary model for spatial extremesGeneralized extreme value distribution with time-dependence using the AR and MA models in state space formDense classes of multivariate extreme value distributionsMax-stable processes for modeling extremes observed in space and timeA new blocks estimator for the extremal indexSparse moving maxima models for tail dependence in multivariate financial time seriesOn approximating max-stable processes and constructing extremal copula functionsMaxima of moving maxima of continuous functionsAsymptotic independence of correlation coefficients with application to testing hypothesis of independenceMultivariate maxima of moving multivariate maximaHutchinson -- Lai's conjecture for bivariate extreme value copulas.Asymptotically (in)dependent multivariate maxima of moving maxima processBayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processesDiagnostic check for heavy tail in linear time seriesExtremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processesProperties of extremal dependence models built on bivariate MAX-linearityTesting for a \(\delta \)-neighborhood of a generalized Pareto copulaParameter Estimation for the Tail Distribution of a Random SequenceThe behavior of multivariate maxima of moving maxima processesNonparametric estimation of the dependence function in bivariate extreme value distributionsAn efficient semiparametric maxima estimator of the extremal indexOn the estimation and application of max-stable processesCapturing the multivariate extremal index: bounds and interconnectionsA hierarchical max-stable spatial model for extreme precipitationOrdinal patterns in clusters of subsequent extremes of regularly varying time seriesMultivariate records and hitting scenariosExtremal properties of M4 processesIt was 30 years ago today when Laurens de Haan went the multivariate wayExtreme value theory for multivariate stationary sequencesStationary max-stable fields associated to negative definite functionsExtreme eigenvalue statistics of \(m\)-dependent heavy-tailed matricesThe estimation of M4 processes with geometric moving patternsBootstrap and Other Resampling Methodologies in Statistics of ExtremesMoving-maximum models for extrema of time seriesStationary min-stable stochastic processes



Cites Work


This page was built for publication: Point processes and multivariate extreme values