Multivariate extreme values in stationary random sequences

DOI10.1016/0304-4149(90)90125-CzbMath0703.62027MaRDI QIDQ916246

Juerg Hüsler

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

asymptotic independenceassociationlimit distributionspositive and negative dependencemixing conditionsstationary random sequencesasymptotic distributions of multivariate extreme valuesCounterexamples

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stationary stochastic processes (60G10) Limit theorems in probability theory (60F99)

Related Items (12)

Maxima of bivariate random vectors: Between independence and complete dependence ⋮ Multiple block sizes and overlapping blocks for multivariate time series extremes ⋮ On the maximum of a bivariate INMA model with integer innovations ⋮ Extreme value copula estimation based on block maxima of a multivariate stationary time series ⋮ On the Multivariate Upcrossings Index ⋮ Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution ⋮ On the asymptotic distribution of certain bivariate reinsurance treaties ⋮ Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations ⋮ Rare events, temporal dependence, and the extremal index ⋮ Extremes of space-time Gaussian processes ⋮ Estimation of Pickands dependence function of bivariate extremes under mixing conditions ⋮ Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions

Cites Work

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• Extremes and related properties of random sequences and processes
• Some properties of multivariate extreme value distributions and multivariate tail equivalence
• Limit results for maxima in non-stationary multivariate Gaussian sequences
• Limit properties for multivariate extreme values in sequences of independent, non-identically distributed random vectors
• Extreme value theory for multivariate stationary sequences
• Domains of attraction of multivariate extreme value distributions
• Negative association of random variables, with applications
• Characterizations of a multivariate extreme value distribution
• Limit laws for the maximum and minimum of stationary sequences
• Limit theory for multivariate sample extremes
• Extremes and local dependence in stationary sequences
• On extreme values in stationary sequences

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