Extremal dependence measure and extremogram: the regularly varying case
type: Item
instance of: scholarly article
title: Extremal dependence measure and extremogram: the regularly varying case
zbMATH Open document ID: 1329.60153
author: Martin Larsson
author: Sidney I. Resnick
published in: Extremes
publication date: 2016-01-22T00:00:00Z
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6534696
zbMATH Keywords: regular variation
zbMATH Keywords: heavy tails
zbMATH Keywords: asymptotic independence
zbMATH Keywords: extremal dependence
zbMATH Keywords: EDM
zbMATH Keywords: extremogram
describes a project that uses: longmemo
MaRDI profile type: Publication
full work available at URL: s10687-011-0135-9
OpenAlex ID: W2083632918
cites work: Regularly varying multivariate time series
cites work: Statistics of Extremes
cites work: Q4865042
cites work: Q4269108
cites work: The influence of dependence on data network models
cites work: Limit theory for moving averages of random variables with regularly varying tail probabilities
cites work: Basic properties and prediction of max-ARMA processes
cites work: The extremogram: a correlogram for extreme events
cites work: High-level dependence in time series models
cites work: A directory of coefficients of tail dependence
cites work: EXTREMAL DEPENDENCE: INTERNET TRAFFIC APPLICATIONS
cites work: Extreme value theory for suprema of random variables with regularly varying tail probabilities
cites work: Tail probabilities for infinite series of regularly varying random vectors
cites work: The tail empirical process for long memory stochastic volatility sequences
cites work: Extremes and local dependence in stationary sequences
cites work: Statistics for near independence in multivariate extreme values
cites work: Diagnostics for Dependence within Time Series Extremes
cites work: The Extremal Dependence Measure and Asymptotic Independence
cites work: Smoothing the Hill Estimator
cites work: Long Range Dependence
cites work: Q4301585
cites work: A dependence measure for multivariate and spatial extreme values: Properties and inference
cites work: The behavior of multivariate maxima of moving maxima processes
DOI: 10.1007/S10687-011-0135-9
Recommended article: Measuring the extremal dependence
Recommended article: Dependence measures for extreme value analyses
Recommended article: Extremal dependence measure for functional data
Recommended article: The Extremal Dependence Measure and Asymptotic Independence
Recommended article: Measures of serial extremal dependence and their estimation
Recommended article: On extremal dependence: some contributions
Recommended article: On the extremal dependence coefficient of multivariate distributions
Recommended article: On estimating extremal dependence structures by parametric spectral measures
Recommended article: Estimating multivariate extremal dependence: a new proposal
description: scientific article; zbMATH DE number 6534696