Extreme value theory for multivariate stationary sequences
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Cited by:
- Ferreira, H., 2011. "Dependence between two multivariate extremes," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 586-591, May.
- Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
- Kabluchko, Zakhar, 2009. "Extremes of space-time Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 119(11), pages 3962-3980, November.
- J. Hüsler & M. G. Temido & A. Valente-Freitas, 2022. "On the Maximum of a Bivariate INMA Model with Integer Innovations," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2373-2402, December.
- N. Beck & C. Genest & J. Jalbert & M. Mailhot, 2020. "Predicting extreme surges from sparse data using a copula‐based hierarchical Bayesian spatial model," Environmetrics, John Wiley & Sons, Ltd., vol. 31(5), August.
- Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Discussion Paper 2006-7, Tilburg University, Center for Economic Research.
- Zhang, Zhengjun & Zhu, Bin, 2016. "Copula structured M4 processes with application to high-frequency financial data," Journal of Econometrics, Elsevier, vol. 194(2), pages 231-241.
- A. Martins & H. Ferreira, 2005. "The multivariate extremal index and the dependence structure of a multivariate extreme value distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 433-448, December.
- Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Other publications TiSEM 04952d0f-2b24-44ad-bf07-f, Tilburg University, School of Economics and Management.
- Martins, A.P. & Ferreira, H., 2005. "Measuring the extremal dependence," Statistics & Probability Letters, Elsevier, vol. 73(2), pages 99-103, June.
- Bucher, Axel & Segers, Johan, 2013. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Discussion Papers ISBA 2013049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Fernández, Begoña & Muriel, Nelson, 2009. "Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1538-1550, August.
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Keywords
extreme values stationary sequences weak convergence;Statistics
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