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Journal article Scopus Source The journal / series is indexed in Scopus (SCImago list). The article itself has not been verified. 1 Citations Quartil Q3

On the multivariate upcrossings index

Viseu, C. , Pereira, L. , Martins, A.P. , Ferreira, H.
ISLA — Instituto Politécnico de Gestão e Tecnologia
Communications in Statistics - Theory and Methods, Volume 43, Issue 6, 2014, pp. 1277–1292
DOI: 10.1080/03610926.2012.661507

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Abstract
The multivariate extremal index function is a measure of the clustering among the extreme values of a multivariate stationary sequence. In this article, we introduce a measure of the degree of clustering of upcrossings in a multivariate stationary sequence, called multivariate upcrossings index, which is a multivariate generalization of the concept of upcrossings index. We derive the main properties of this function, namely the relations with the multivariate extremal index and the clustering of upcrossings. Imposing general local and asymptotic dependence restrictions on the sequence or on its marginals we compute the multivariate upcrossings index from the marginal upcrossings indices and from the joint distribution of a finite number of variables. A couple of illustrative examples are exploited.

Keywords

#extreme value theory #local dependence #asymptotic dependence #Multivariate statistics #Mathematics #Cluster analysis #Multivariate analysis #Index (typography) #Sequence (biology) #Measure (data warehouse) #generalization

Bibliographic Details

Publication Type Journal article
Publication Year 2014
Journal / Conference / Work Communications in Statistics - Theory and Methods
Volume / Issue Vol. 43 (6)
Pagination pp. 1277–1292
Quartile (SCImago) Q3
Scopus Indexing Indexed source (via SCImago)

ISLA Authors & Affiliations

A
Ana Cláudia Moreira Rodrigues
anarodrigues@iscap.ipp.pt ID: 9A13-EB92-244B
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C
Clara Margarida Pisco Viseu
claraviseu@gmail.com ID: 3E12-C3CE-B48F
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