Multivariate maxima of moving multivariate maxima

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• 作者：Helena Ferreira ^{helenaf@ubi.pt}
• 关键词：Moving multivariate maxima ; Multivariate extremal index ; Tail dependence ; Multivariate extreme value distribution
• 刊名：Statistics and Probability Letters
• 出版年：2012
• 期刊代码：56_01677152
• 类别：mt
• 出版时间：August, 2012
• 卷：82
• 期：8
• 页码：1489-1496
• 文件大小：225 K

摘要

We define a class of multivariate maxima of moving multivariate maxima, generalising the M4 processes. For these stationary multivariate time series we characterise the joint distribution of extremes and compute the multivariate extremal index. We derive the bivariate upper tail dependence coefficients and the extremal coefficient of the new limiting multivariate extreme value distributions.