On the multivariate extremal index

DOI10.6028/JRES.099.052MaRDI QIDQ4355366zbMATHOpenAlexFDO

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)

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

(51)

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

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)