IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v29y1989i2p274-291.html
   My bibliography  Save this article

Extreme value theory for multivariate stationary sequences

Author

Listed:
  • Hsing, Tailen

Abstract

A distributional mixing condition is introduced for stationary sequences of random vectors to study their extremes. For a sequence satisfying the condition, the following topics which concern the weak limit F of properly normalized partial maxima are studied: (1) To obtain characterizations of F. (2) To study a condition under which the partial maxima behave as they would if the sequence were i.i.d. (3) To consider problems in connection with the independence of the margins of F.

Suggested Citation

  • Hsing, Tailen, 1989. "Extreme value theory for multivariate stationary sequences," Journal of Multivariate Analysis, Elsevier, vol. 29(2), pages 274-291, May.
    • Handle: RePEc:eee:jmvana:v:29:y:1989:i:2:p:274-291
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(89)90028-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ferreira, H., 2011. "Dependence between two multivariate extremes," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 586-591, May.
    2. Kabluchko, Zakhar, 2009. "Extremes of space-time Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 119(11), pages 3962-3980, November.
    3. J. Hüsler & M. G. Temido & A. Valente-Freitas, 2022. "On the Maximum of a Bivariate INMA Model with Integer Innovations," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2373-2402, December.
    4. A. Martins & H. Ferreira, 2005. "The multivariate extremal index and the dependence structure of a multivariate extreme value distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 433-448, December.
    5. Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Other publications TiSEM 04952d0f-2b24-44ad-bf07-f, Tilburg University, School of Economics and Management.
    6. Martins, A.P. & Ferreira, H., 2005. "Measuring the extremal dependence," Statistics & Probability Letters, Elsevier, vol. 73(2), pages 99-103, June.
    7. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    8. Bucher, Axel & Segers, Johan, 2013. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Discussion Papers ISBA 2013049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. N. Beck & C. Genest & J. Jalbert & M. Mailhot, 2020. "Predicting extreme surges from sparse data using a copula‐based hierarchical Bayesian spatial model," Environmetrics, John Wiley & Sons, Ltd., vol. 31(5), August.
    10. Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Discussion Paper 2006-7, Tilburg University, Center for Economic Research.
    11. Fernández, Begoña & Muriel, Nelson, 2009. "Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1538-1550, August.
    12. Zhang, Zhengjun & Zhu, Bin, 2016. "Copula structured M4 processes with application to high-frequency financial data," Journal of Econometrics, Elsevier, vol. 194(2), pages 231-241.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:29:y:1989:i:2:p:274-291. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.