Multivariate maxima of moving multivariate maxima

DOI10.1016/j.spl.2012.04.015zbMath1272.62037arXiv1106.1390OpenAlexW1995216979MaRDI QIDQ449003

Helena Ferreira

Publication date: 11 September 2012

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

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

zbMATH Keywords

tail dependencemultivariate extremal indexmultivariate extreme value distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Extremal properties of M4 processes ⋮ Multivariate modelling of spatial extremes based on copulas

Cites Work

• Unnamed Item
• Unnamed Item
• The multivariate extremal index and the dependence structure of a multivariate extreme value distribution
• An introduction to copulas.
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Point processes and multivariate extreme values
• Moving-maximum models for extrema of time series
• Maxima of normal random vectors: Between independence and complete dependence
• Bivariate distributions with given extreme value attractor
• Basic properties and prediction of max-ARMA processes
• The t Copula and Related Copulas
• On the multivariate extremal index
• The behavior of multivariate maxima of moving maxima processes

This page was built for publication: Multivariate maxima of moving multivariate maxima