Extremal behavior of pMAX processes

DOI10.1016/j.spl.2014.06.009zbMath1327.60107arXiv1210.7430OpenAlexW1991769073MaRDI QIDQ395963

Marta Ferreira, Helena Ferreira

Publication date: 8 August 2014

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

Full work available at URL: https://arxiv.org/abs/1210.7430

zbMATH Keywords

asymptotic independencetail dependencemultivariate extreme value theoryextremal coefficientsmultivariate maxima of moving maxima (M4) process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70)

Related Items (max. 100)

Tail dependence and smoothness of time series ⋮ A new random field on lattices ⋮ Extremal properties of M4 processes ⋮ Asymptotic dependence of bivariate maxima

Cites Work

• Unnamed Item
• Extreme quantile estimation for dependent data, with applications to finance
• Bivariate extreme statistics. I
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Basic properties of strong mixing conditions. A survey and some open questions
• Estimating the multivariate extremal index function
• Extremes and related properties of random sequences and processes
• Tail index estimation for dependent data
• On extremal dependence: some contributions
• Quotient correlation: a sample based alternative to Pearson's correlation
• Statistics for near independence in multivariate extreme values
• Calculating the extremal index for a class of stationary sequences
• Limit theory for multivariate sample extremes
• On the multivariate extremal index
• Consistency of Hill's estimator for dependent data
• A directory of coefficients of tail dependence

This page was built for publication: Extremal behavior of pMAX processes