The Multivariate Extremal Index and the Dependence Structure of a Multivariate Extreme Value Distribution

Autores: A.P. Martins, Helena Ferreira
Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 14, Nº. 2, 2005, págs. 433-448
Idioma: inglés
DOI: 10.1007/bf02595412
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Resumen
- Let H be the limiting distribution of a vector of maxima from a d-dimensional stationary sequence with multivariate extremal index. We give necessary and sufficient conditions for H to have independent or totally dependent margins by using relations between the multivariate extremal index and the univariate extremal indexes.
  
  A new functional family of multivariate extreme value distributions, containing H, is introduced. We apply the results to characterize the asymptotic independence of the maximum and the minimum and compute the multivariate extremal index of the Multivariate Maxima of Moving Maxima process.