Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
<mark>Journal publication date</mark> | 30/06/2007 |
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<mark>Journal</mark> | Extremes |
Issue number | 1-2 |
Volume | 10 |
Number of pages | 26 |
Pages (from-to) | 57-82 |
Publication Status | Published |
Early online date | 20/06/07 |
<mark>Original language</mark> | English |
Smith and Weissman introduced a M4 class of processes which are very flexible models for temporally dependent multivariate extreme value processes. However all variables in these M4 models are asymptotically dependent and what this paper does is to extend this M4 class in a number of ways to produce classes of models which are also asymptotically independent. We shall study properties of the proposed models. In particular, asymptotic dependence indexes, coefficients of tail dependence, and extremal indexes are derived for each case.