Asymptotically (in)dependent multivariate maxima of moving maxima process
type: Item
instance of: scholarly article
title: Asymptotically (in)dependent multivariate maxima of moving maxima process
zbMATH Open document ID: 1150.60030
author: Jonathan A. Tawn
author: Zhengjun Zhang
author: Janet E. Heffernan
published in: Extremes
publication date: 2008-06-18T00:00:00Z
review text: A multivariate maximum of the moving maxima model (and some generalizations) of the form \[ Y_{i,d}=\max_i\max_k a_{l,k,d} W_{l,i-k} \] is considered, where \(a_{l,k,d}\) are some nonrandom coefficients, \(W_{l,i}\) are i.i.d. with generalized extreme value distribution. The authors derive formulas for the asymptotic dependency index \[ \lambda_{d,d'}=\lim_{x\to\infty} P(Y_{i,d}>x| Y_{i,d'}>x) \] (asymptotic independence corresponds to \(\lambda_{d,d'}=0\)) and for the extremal index of \(Y_{i,d}\). Results of simulations are presented.
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 5290167
zbMATH Keywords: extremal index
zbMATH Keywords: asymptotic independence
zbMATH Keywords: generalized extreme value distribution
reviewed by: R. E. Maiboroda
MaRDI profile type: Publication
full work available at URL: s10687-007-0035-1
OpenAlex ID: W2056783205
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DOI: 10.1007/S10687-007-0035-1
description: scientific article; zbMATH DE number 5290167