130
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Asymptotic dependence of bivariate maxima

&
Pages 3269-3279 | Received 28 Sep 2017, Accepted 07 May 2018, Published online: 22 Nov 2018

References

  • Bortot, P., and J. A. Tawn. 1998. Models for the extremes of Markov chains. Biometrika 85 (4):851–67.
  • Chernick, M. R., T. Hsing, and W. P. McCormick. 1991. Calculating the extremal index for a class of stationary sequences. Advance in Applied Probability 23:835–850.
  • Davis, R. A. 1982. Limit laws for the maximum and minimum of stationary sequences. Zeitschrift fr¨ Wahrscheinlichkeitstheorie und Verwante Gebiete 61:31–42.
  • Ferreira, H., and M. Ferreira. 2014. Extremal behavior of pMAX processes. Statistics and Probability Letters 93:46–57.
  • Ferreira, H., and M. Ferreira. 2015. Extremes of scale mixtures of multivariate time series. Journal of Multivariate Analysis 137:82–99.
  • Ferreira, H., and M. Ferreira. 2018. Estimating the extremal index through local dependence. Annales de l’Institut Henri Poincarè, Probabilities et Statistiques 54:587–605.
  • Ferreira, M., and H. Ferreira. 2012. On extremal dependence: Some Contributions. Test 21:566–83.
  • Ferreira, M., and L. Canto e Castro. 2010. Modeling rare events through a pRARMAX process. Journal of Statistical Planning and Inference 140 (11): 3552–66.
  • Fukutome, S., M. A. Liniger, and M. Süveges. 2014. Automatic threshold and run parameter selection: A climatology for extreme hourly precipitation in Switzerland. Theoretical and Applied Climatology 120 (3): 403–16.
  • Galambos, J. 1987. The asymptotic theory of extreme order statistics. 2nd ed. Melbourne, Krieger.
  • Hsing, T. 1989. Extreme value theory for multivariate stationary sequences. Journal of Multivariate Analysis 29:274–91.
  • Leadbetter, M. R., G. Lindgren, and H. Rootzén. 1983. Extremes and related properties of random sequences and processes. Berlin, Springer.
  • Leadbetter, M. R., and S. Nandagopalan. 1989. On exceedance point processes for stationary sequences under mild oscillation restrictions. Lecture Notes in Statistics 51:69–80.
  • Ledford, A. W., and J. A. Tawn. 1996. Statistics for near independence in multivariate extreme values. Biometrika 83:169–87.
  • Ledford, A. W., and J. A. Tawn. 1997. Modelling dependence within joint tail regions. Journal of the Royal Statistical Society 59:475–99.
  • Lescourret, L., and C. Robert. 2006. Extreme dependence of multivariate catastrophic losses. Scandinavian Actuarial Journal 2006 (4): 203–25.
  • Li, H. 2009. Orthant tail dependence of multivariate extreme value distributions. Journal of Multivariate Analysis 100 (1): 243–56.
  • Nandagopalan, S. 1994. On the multivariate extremal index. Journal of Research, National Institute of Standards and Technology 99:543–50.
  • Pereira, L., A. P. Martins, and H. Ferreira. 2017. Clustering of high values in random fields. Extremes 20:807–38.
  • Poon, S.-H., M. Rockinger, and J. A. Tawn. 2003. Modelling extreme-value dependence in international stock markets. Statistica Sinica 13:929–53.
  • Ramos, A., and A. Ledford. 2011. Alternative point process framework for modeling multivariate extreme values. Communications in Statistics – Theory and Methods 40:2205–24.
  • Schmidt, R., and U. Stadtmüller. 2006. Nonparametric estimation of tail dependence. Scandinavian Journal of Statistics 33:307–35.
  • Smith, R. L. 1990. Max-stable processes and spatial extremes. Pre-print. Chapel Hill, NC: University of North Carolina.
  • Süveges, M. 2007. Likelihood estimation of the extremal index. Extremes 10:41–55.
  • Tiago de Oliveira, J. 1962/1963. Structure theory of bivariate extremes extensions. Estudes de Mathematica, Estatistica e Econometrica 7:165–195.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.