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TitleExtremal behavior of pMAX processes
Author(s)Ferreira, Helena
Ferreira, Marta Susana
KeywordsMultivariate extreme value theory
Tail dependence
Extremal coefficient
Asymptotic independence
Issue dateOct-2014
JournalStatistics & Probability Letters
Abstract(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.
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Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

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