Abstract

We define a class of multivariate maxima of moving multivariate maxima, generalising the M4 processes. For these stationary multivariate time series we characterise the joint distribution of extremes and compute the multivariate extremal index. We derive the bivariate upper tail dependence coefficients and the extremal coefficient of the new limiting multivariate extreme value distributions.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call