Multivariate maxima of moving multivariate maxima

Helena Ferreira

Statistics & Probability Letters, 2012, vol. 82, issue 8, 1489-1496

Abstract: 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.

Keywords: Moving multivariate maxima; Multivariate extremal index; Tail dependence; Multivariate extreme value distribution (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.04.015

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