Extremal properties of M4 processes
-
A. P. Martins [1] ; H. Ferreira [1]
-
[1] Universidade da Beira Interior
Universidade da Beira Interior
Covilhã (Conceição), Portugal
-
- Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 23, Nº. 2, 2014, págs. 388-408
- Idioma: inglés
- DOI: 10.1007/s11749-014-0358-6
- Texto completo no disponible (Saber más ...)
-
Resumen
The existence of data with different dependence structures motivates the development of models which can capture several types of dependence. In this paper we consider a stationary sequence of moving maxima vectors {Xn=(Xn1,…,Xnd)}n≥1 having innovations Zl,n=(Zl,n,1,…,Zl,n,d) with totally dependent margins for certain values of l, l∈I1, and independent margins for the remaining values of l, l∈I2. We obtain in this way a d-dimensional process {Xn}n≥1 whose extremal dependence, measured by the tail dependence coefficients, lies between asymptotic independence and total dependence. The extremal properties of these M4 processes are studied and examined both theoretically and through simulation studies: we derive the multivariate extremal index, the tail dependence coefficients and co-movement indices.
