Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/31658
Título: | Extremal behavior of pMAX processes |
Autor(es): | Ferreira, Helena Ferreira, Marta Susana |
Palavras-chave: | Multivariate extreme value theory Tail dependence Extremal coefficient Asymptotic independence |
Data: | Out-2014 |
Editora: | Elsevier 1 |
Revista: | Statistics & Probability Letters |
Resumo(s): | The well-known M4 processes of Smith and Weissman are very flexible models for asymptotically dependent multivariate data. Extended M4 of Heffernan et al. allows to also account for asymptotic independence. In this paper we introduce a more general multivariate model comprising asymptotic dependence and independence, which has the extended M4 class as a particular case. We study properties of the proposed model. In particular, we compute the multivariate extremal index, tail dependence and extremal coefficients. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/31658 |
DOI: | 10.1016/j.spl.2014.06.009 |
ISSN: | 0167-7152 |
Versão da editora: | http://www.sciencedirect.com/science/article/pii/S0167715214002119# |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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publicado.pdf Acesso restrito! | Documento principal | 407,57 kB | Adobe PDF | Ver/Abrir |