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The multivariate extremal index and the dependence structure of a multivariate extreme value distribution

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  • A. Martins
  • H. Ferreira

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  • 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.
    • Handle: RePEc:spr:testjl:v:14:y:2005:i:2:p:433-448
    DOI: 10.1007/BF02595412
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    References listed on IDEAS

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    1. Hsing, Tailen, 1989. "Extreme value theory for multivariate stationary sequences," Journal of Multivariate Analysis, Elsevier, vol. 29(2), pages 274-291, May.
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    Cited by:

    1. Ferreira, Helena, 2012. "Multivariate maxima of moving multivariate maxima," Statistics & Probability Letters, Elsevier, vol. 82(8), pages 1489-1496.
    2. Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2012. "Efficient estimation and particle filter for max‐stable processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 61-80, January.
    3. Withers, Christopher S. & Nadarajah, Saralees, 2014. "The distribution of the maximum of the multivariate AR(p) and multivariate MA(p) processes," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 48-56.
    4. Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2010. "Bayesian Estimation and Particle Filter for Max-Stable Processes," CIRJE F-Series CIRJE-F-757, CIRJE, Faculty of Economics, University of Tokyo.
    5. A. Martins & H. Ferreira, 2014. "Extremal properties of M4 processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 388-408, June.

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