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

dependence functionlevel exceedancesmixing assumptionsmoving average sequencespoint processstationary sequences

Mathematics Subject Classification ID

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

Recommendations

• Estimating the multivariate extremal index function
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• Capturing the multivariate extremal index: bounds and interconnections
• Some variations on the extremal index
• The extremal index and clustering of high values for derived stationary sequences

Cited in

(53)

• Estimating the multivariate extremal index function
• Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• Likelihood estimation of the extremal index
• The extremal index of a higher-order stationary Markov chain
• Limit distributions for point processes of exceedances of random levels
• Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
• On extremal behaviors of Murty's least index method
• Strong convergence of multivariate point processes of exceedances
• The asymptotic locations of the maximum and minimum of stationary sequences
• Estimating the extremal index through local dependence
• On the asymptotic locations of the largest and smallest extremes of a stationary sequence
• Multilevel clustering of extremes.
• Extremes and clustering of nonstationary max-AR(1) sequences
• Extremes of a random number of variables from periodic sequences
• Sparse moving maxima models for tail dependence in multivariate financial time series
• 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
• Capturing the multivariate extremal index: bounds and interconnections
• Modeling extreme events: sample fraction adaptive choice in parameter estimation
• Extremes of scale mixtures of multivariate time series
• Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• Measuring the extremal dependence
• Clustering of upcrossings of high values
• Copula structured M4 processes with application to high-frequency financial data
• Improving financial risk assessment through dependency
• Rare events, temporal dependence, and the extremal index
• Adaptive choice and resampling techniques in extremal index estimation
• scientific article; zbMATH DE number 3980150 (Why is no real title available?)
• Estimating the upcrossings index
• Extremes of multivariate ARMAX processes
• Extremal behavior of pMAX processes
• Multivariate maxima of moving multivariate maxima
• The behavior of multivariate maxima of moving maxima processes
• The extremal index and clustering of high values for derived stationary sequences
• On the measurement and treatment of extremes in time series
• Dissecting the multivariate extremal index and tail dependence
• Extremal indices and clusters in the linear recursive stochastic sequences
• On the multivariate upcrossings index
• The upcrossings index and the extremal index
• Bootstrap and other resampling methodologies in statistics of extremes
• Asymptotic dependence of bivariate maxima
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Some variations on the extremal index
• On approximating max-stable processes and constructing extremal copula functions
• Multivariate extreme values for dynamical systems
• Multidimensional outlier-proneness of dependent data and the extremal index
• Tail dependence between order statistics
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• Extremal behaviour of models with multivariate random recurrence representation
• Asymptotically (in)dependent multivariate maxima of moving maxima process

This page was built for publication: On the multivariate extremal index

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4355366)