Multivariate maxima of moving multivariate maxima
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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.
- University of Beira Interior Portugal
Extreme value theory; extremal stochastic processes, multivariate extremal index, tail dependence, Statistics of extreme values; tail inference, Probability (math.PR), FOS: Mathematics, Central limit and other weak theorems, Mathematics - Probability, multivariate extreme value distribution
Extreme value theory; extremal stochastic processes, multivariate extremal index, tail dependence, Statistics of extreme values; tail inference, Probability (math.PR), FOS: Mathematics, Central limit and other weak theorems, Mathematics - Probability, multivariate extreme value distribution
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