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Activity Number: 530
Type: Topic Contributed
Date/Time: Thursday, August 10, 2006 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #305979
Title: Asymptotically (In)dependent Multivariate Maxima of Moving Maxima Processes
Author(s): Zhengjun Zhang*+
Companies: University of Wisconsin-Madison
Address: Department of Statistics, Madison, WI, 53706,
Keywords: asymptotic (in)dependence ; multivariate time series
Abstract:

Smith and Weissman introduced an M4 class of processes, which are flexible models for temporally dependent multivariate extreme-value processes. However, all variables in these models are asymptotically dependent. This paper extends this M4 class in a number of ways to produce classes of models that are also asymptotically independent. We will study properties of the proposed models. In particular, asymptotic dependence indexes, coefficients of tail dependence, and extremal indexes are derived for each case.

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