Multivariate maxima of moving multivariate maxima

DOI10.1016/J.SPL.2012.04.015zbMATH Open1272.62037OpenAlexW1995216979MaRDI QIDQ449003FDOQ449003

Authors Helena Ferreira

Publication date 11 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.1390

zbMATH Keywords

tail dependencemultivariate extremal indexmultivariate extreme value distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)

Abstract: We define a class of multivariate maxima of moving multivariate maxima, generalising the M4 processes. For these stationary multivariate time series we characterise the joint distribution of extremes and compute the multivariate extremal index. We derive the bivariate upper tail dependence coefficients and the extremal coefficient of the new limiting multivariate extreme value distributions.

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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Cited in

(12)

• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Extremal behavior of pMAX processes
• Extremal properties of M4 processes
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• Maxima of moving maxima of continuous functions
• On the estimation and application of max-stable processes
• Multiple maxima in multivariate samples
• Extremes of multivariate ARMAX processes
• Multivariate modelling of spatial extremes based on copulas
• Dissecting the multivariate extremal index and tail dependence
• The behavior of multivariate maxima of moving maxima processes
• Rare events, temporal dependence, and the extremal index

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