On the multivariate extremal index

DOI10.6028/JRES.099.052MaRDI QIDQ4355366zbMATH OpenOpenAlexFDO

Authors 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)

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• The upcrossings index and the extremal index
• Measuring the extremal dependence
• Improving financial risk assessment through dependency
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• Estimating the extremal index through local dependence
• Extremal behavior of pMAX processes
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• Extremes of multivariate ARMAX processes
• Extremal indices and clusters in the linear recursive stochastic sequences
• Multilevel clustering of extremes.
• Dissecting the multivariate extremal index and tail dependence
• 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
• Multidimensional outlier-proneness of dependent data and the extremal index
• Tail dependence between order statistics
• Asymptotic dependence of bivariate maxima
• The behavior of multivariate maxima of moving maxima processes
• scientific article; zbMATH DE number 3980150 (Why is no real title available?)
• Extremes of scale mixtures of multivariate time series
• Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities
• 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
• On approximating max-stable processes and constructing extremal copula functions
• Extremes of a random number of variables from periodic sequences
• Extremal behaviour of models with multivariate random recurrence representation
• The extremal index and clustering of high values for derived stationary sequences
• Clustering of upcrossings of high values
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• Multivariate extreme values for dynamical systems
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• On the asymptotic locations of the largest and smallest extremes of a stationary sequence
• On the multivariate upcrossings index
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• The asymptotic locations of the maximum and minimum of stationary sequences
• Some variations on the extremal index
• On extremal behaviors of Murty's least index method
• Likelihood estimation of the extremal index
• Sparse moving maxima models for tail dependence in multivariate financial time series
• Adaptive choice and resampling techniques in extremal index estimation
• A horse race between the block maxima method and the peak-over-threshold approach
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• On the measurement and treatment of extremes in time series
• Bootstrap and other resampling methodologies in statistics of extremes
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• Estimating the upcrossings index
• Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
• Estimating the multivariate extremal index function

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