Extremal behavior of pMAX processes
Statistics Theory
2012-10-30 v1 Statistics Theory
Abstract
The well-known M4 processes of Smith and Weissman are very flexible models for asymptotically dependent multivariate data. Extended M4 of Heffernan \emph{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.
Cite
@article{arxiv.1210.7430,
title = {Extremal behavior of pMAX processes},
author = {Helena Ferreira and Marta Ferreira},
journal= {arXiv preprint arXiv:1210.7430},
year = {2012}
}