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

DOI10.1007/BF02595412zbMath1087.62062MaRDI QIDQ820208

Helena Ferreira, Ana Paula Martins

Publication date: 6 April 2006

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

dependence conditionsmultivariate extreme value theory

Mathematics Subject Classification ID

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

Related Items (8)

Efficient estimation and particle filter for max-stable processes ⋮ Multivariate maxima of moving multivariate maxima ⋮ The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes ⋮ Asymptotically (in)dependent multivariate maxima of moving maxima process ⋮ On the estimation and application of max-stable processes ⋮ Capturing the multivariate extremal index: bounds and interconnections ⋮ Extremal properties of M4 processes ⋮ Estimating the multivariate extremal index function

Cites Work

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• Extreme values for stationary and Markov 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
• Extreme value theory for multivariate stationary sequences
• Domains of attraction of multivariate extreme value distributions
• Characterizations of a multivariate extreme value distribution
• Limit laws for the maximum and minimum of stationary sequences
• Calculating the extremal index for a class of stationary sequences
• Extremes and local dependence in stationary sequences

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