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Asymptotically (in)dependent multivariate maxima of moving maxima processes

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Asymptotically (in)dependent multivariate maxima of moving maxima processes. / Heffernan, Janet E.; Tawn, Jonathan A.; Zhang, Zhengjun.
In: Extremes, Vol. 10, No. 1-2, 30.06.2007, p. 57-82.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Heffernan, JE, Tawn, JA & Zhang, Z 2007, 'Asymptotically (in)dependent multivariate maxima of moving maxima processes', Extremes, vol. 10, no. 1-2, pp. 57-82. https://doi.org/10.1007/s10687-007-0035-1

APA

Heffernan, J. E., Tawn, J. A., & Zhang, Z. (2007). Asymptotically (in)dependent multivariate maxima of moving maxima processes. Extremes, 10(1-2), 57-82. https://doi.org/10.1007/s10687-007-0035-1

Vancouver

Heffernan JE, Tawn JA, Zhang Z. Asymptotically (in)dependent multivariate maxima of moving maxima processes. Extremes. 2007 Jun 30;10(1-2):57-82. Epub 2007 Jun 20. doi: 10.1007/s10687-007-0035-1

Author

Heffernan, Janet E. ; Tawn, Jonathan A. ; Zhang, Zhengjun. / Asymptotically (in)dependent multivariate maxima of moving maxima processes. In: Extremes. 2007 ; Vol. 10, No. 1-2. pp. 57-82.

Bibtex

@article{35e426d018dc435db11cf1f082d98dc8,
title = "Asymptotically (in)dependent multivariate maxima of moving maxima processes",
abstract = "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.",
keywords = "Asymptotic (in)dependence, Extreme value theory, Multivariate time series, Near independence, Negative dependence, Positive dependence",
author = "Heffernan, {Janet E.} and Tawn, {Jonathan A.} and Zhengjun Zhang",
year = "2007",
month = jun,
day = "30",
doi = "10.1007/s10687-007-0035-1",
language = "English",
volume = "10",
pages = "57--82",
journal = "Extremes",
issn = "1386-1999",
publisher = "Springer Netherlands",
number = "1-2",

}

RIS

TY - JOUR

T1 - Asymptotically (in)dependent multivariate maxima of moving maxima processes

AU - Heffernan, Janet E.

AU - Tawn, Jonathan A.

AU - Zhang, Zhengjun

PY - 2007/6/30

Y1 - 2007/6/30

N2 - 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.

AB - 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.

KW - Asymptotic (in)dependence

KW - Extreme value theory

KW - Multivariate time series

KW - Near independence

KW - Negative dependence

KW - Positive dependence

U2 - 10.1007/s10687-007-0035-1

DO - 10.1007/s10687-007-0035-1

M3 - Journal article

AN - SCOPUS:34547920289

VL - 10

SP - 57

EP - 82

JO - Extremes

JF - Extremes

SN - 1386-1999

IS - 1-2

ER -