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

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

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 (46)

• 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
• Multilevel clustering of extremes.
• 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
• Title not available (Why is that?)
• 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
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• 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

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)