The multivariate extremal index and the dependence structure of a multivariate extreme value distribution

DOI10.1007/BF02595412MaRDI QIDQ820208zbMATH OpenFDO

Authors Ana Paula Martins, Helena Ferreira

Publication date 6 April 2006

Published in Test (Search for Journal in Brave)

zbMATH Keywords

multivariate extreme value theorydependence conditions

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

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• scientific article; zbMATH DE number 4109747 (Why is no real title available?)
• scientific article; zbMATH DE number 193577 (Why is no real title available?)
• scientific article; zbMATH DE number 3592801 (Why is no real title available?)
• Calculating the extremal index for a class of stationary sequences
• Characterizations of a multivariate extreme value distribution
• Domains of attraction of multivariate extreme value distributions
• Extreme value theory for multivariate stationary sequences
• Extreme values for stationary and Markov sequences
• Extremes and local dependence in stationary sequences
• Limit laws for the maximum and minimum of stationary sequences
• Maxima and minima of stationary sequences
• On blocks and runs estimators of the extremal index
• The asymptotic locations of the maximum and minimum of stationary sequences

Cited in

(18)

• scientific article; zbMATH DE number 3896082 (Why is no real title available?)
• Dissecting the multivariate extremal index and tail dependence
• On the estimation and application of max-stable processes
• Capturing the multivariate extremal index: bounds and interconnections
• Multidimensional outlier-proneness of dependent data and the extremal index
• scientific article; zbMATH DE number 218895 (Why is no real title available?)
• scientific article; zbMATH DE number 7660128 (Why is no real title available?)
• Multivariate maxima of moving multivariate maxima
• On the dependence function of Sibuya in multivariate extreme value theory
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• A construction principle for multivariate extreme value distributions
• Efficient estimation and particle filter for max-stable processes
• A new dependence condition for time series and the extremal index of higher-order Markov chains
• Characterizations of a multivariate extreme value distribution
• Extremal properties of M4 processes
• Determining the dependence structure of multivariate extremes
• The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
• Estimating the multivariate extremal index function

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