Multivariate maxima of moving multivariate maxima

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.

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Year of publication:	2012
Authors:	Ferreira, Helena
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 8, p. 1489-1496
Publisher:	Elsevier
Subject:	Moving multivariate maxima \| Multivariate extremal index \| Tail dependence \| Multivariate extreme value distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010597146