On the multivariate extremal index

DOI10.6028/JRES.099.052zbMATH Open0881.60050OpenAlexW2079692144MaRDI QIDQ4355366FDOQ4355366

S. Nandagopalan

Publication date: 10 February 1998

Published in: Journal of Research of the National Institute of Standards and Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.6028/jres.099.052

zbMATH Keywords

point processstationary sequencesdependence functionmixing assumptionsmoving average sequenceslevel exceedances

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

Cited In (43)

• The extremal index of a higher-order stationary Markov chain
• Estimating the extremal index through local dependence
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• Extremal behavior of pMAX processes
• Adaptive Choice and Resampling Techniques in Extremal Index Estimation
• Extremes of multivariate ARMAX processes
• Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
• Rare events, temporal dependence, and the extremal index
• Capturing the multivariate extremal index: bounds and interconnections
• On the Multivariate Upcrossings Index
• Asymptotic dependence of bivariate maxima
• Multidimensional outlier-proneness of dependent data and the extremal index
• Tail dependence between order statistics
• The behavior of multivariate maxima of moving maxima processes
• Extremes of scale mixtures of multivariate time series
• Modeling extreme events: sample fraction adaptive choice in parameter estimation
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Extremes and clustering of nonstationary max-AR(1) sequences
• Copula structured M4 processes with application to high-frequency financial data
• Limit distributions for point processes of exceedances of random levels
• Multivariate maxima of moving multivariate maxima
• Extremes of a random number of variables from periodic sequences
• On approximating max-stable processes and constructing extremal copula functions
• Extremal behaviour of models with multivariate random recurrence representation
• The extremal index and clustering of high values for derived stationary sequences
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• On the asymptotic locations of the largest and smallest extremes of a stationary sequence
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Bootstrap and Other Resampling Methodologies in Statistics of Extremes
• Some variations on the extremal index
• The asymptotic locations of the maximum and minimum of stationary sequences
• On extremal behaviors of Murty's least index method
• Sparse moving maxima models for tail dependence in multivariate financial time series
• Likelihood estimation of the extremal index
• A horse race between the block maxima method and the peak-over-threshold approach
• On the measurement and treatment of extremes in time series
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• Estimating the upcrossings index
• The upcrossings index and the extremal index
• Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations
• Estimating the multivariate extremal index function
• Improving financial risk assessment through dependency
• Measuring the extremal dependence

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