Multivariate maxima of moving multivariate maxima

DOI10.1016/J.SPL.2012.04.015zbMATH Open1272.62037arXiv1106.1390OpenAlexW1995216979MaRDI QIDQ449003FDOQ449003

Helena Ferreira

Publication date: 11 September 2012

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

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.

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

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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)

Cites Work

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• The behavior of multivariate maxima of moving maxima processes
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Bivariate distributions with given extreme value attractor
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution

Cited In (7)

• Rare events, temporal dependence, and the extremal index
• The behavior of multivariate maxima of moving maxima processes
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Extremal properties of M4 processes
• Multiple maxima in multivariate samples
• Multivariate modelling of spatial extremes based on copulas

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