The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
DOI10.1007/BF02595412zbMATH Open1087.62062MaRDI QIDQ820208FDOQ820208
Authors: Ana Paula Martins, Helena Ferreira 
Publication date: 6 April 2006
Published in: Test (Search for Journal in Brave)
Recommendations
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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Cited In (18)
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- 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
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- Title not available (Why is that?)
- Multidimensional outlier-proneness of dependent data and the extremal index
- Multivariate maxima of moving multivariate maxima
- On the dependence function of Sibuya in multivariate extreme value theory
- A construction principle for multivariate extreme value distributions
- Asymptotically (in)dependent multivariate maxima of moving maxima process
- 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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