Extremal behavior of pMAX processes

doi:10.1016/j.spl.2014.06.009

Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/31658

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Campo DC	Valor	Idioma
dc.contributor.author	Ferreira, Helena	por
dc.contributor.author	Ferreira, Marta Susana	por
dc.date.accessioned	2014-12-05T11:58:33Z	-
dc.date.available	2014-12-05T11:58:33Z	-
dc.date.issued	2014-10	-
dc.identifier.issn	0167-7152	por
dc.identifier.uri	https://hdl.handle.net/1822/31658	-
dc.description.abstract	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.	por
dc.description.sponsorship	Fundação para a Ciência e a Tecnologia (FCT)	por
dc.language.iso	eng	por
dc.publisher	Elsevier 1	por
dc.relation	Helena Ferreira was partially supported by the research unit ‘‘Centro de Matemática’’ of the University of Beira Interior and the research project PEst- OE/MAT/UI0212/2014 through the Foundation for Science and Technology (FCT) co-financed by FEDER/COMPETE. Marta Ferreira was financed by FEDER Funds through ‘‘Programa Operacional Factores de Competitividade—COMPETE’’ and by Portuguese Funds through FCT—‘‘Fundação para a Ciência e a Tecnologia’’, within the project PEst-OE/MAT/UI0013/2014	por
dc.rights	restrictedAccess	por
dc.subject	Multivariate extreme value theory	por
dc.subject	Tail dependence	por
dc.subject	Extremal coefficient	por
dc.subject	Asymptotic independence	por
dc.title	Extremal behavior of pMAX processes	por
dc.type	article	por
dc.peerreviewed	yes	por
dc.relation.publisherversion	http://www.sciencedirect.com/science/article/pii/S0167715214002119#	por
sdum.publicationstatus	published	por
oaire.citationStartPage	46	por
oaire.citationEndPage	57	por
oaire.citationTitle	Statistics and Probability Letters	por
oaire.citationVolume	93	por
dc.identifier.doi	10.1016/j.spl.2014.06.009	por
dc.subject.fos	Ciências Naturais::Matemáticas	por
dc.subject.wos	Science & Technology	por
sdum.journal	Statistics & Probability Letters	por
Aparece nas coleções:	CMAT - Artigos em revistas com arbitragem / Papers in peer review journals