Multivariate maxima of moving multivariate maxima
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References listed on IDEAS
- Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- 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.
- Hall, Peter & Peng, Liang & Yao, Qiwei, 2002. "Moving-maximum models for extrema of time series," LSE Research Online Documents on Economics 6084, London School of Economics and Political Science, LSE Library.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Deheuvels, Paul, 1983. "Point processes and multivariate extreme values," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 257-272, June.
- Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- A. Martins & H. Ferreira, 2014. "Extremal properties of M4 processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 388-408, June.
More about this item
KeywordsMoving multivariate maxima; Multivariate extremal index; Tail dependence; Multivariate extreme value distribution;
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