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math.PR2011
Multivariate maxima of moving multivariate maxima
Helena Ferreira
We define a class of multivariate maxima of moving multivariate maxima, generalising the M4 processes. For these stationary multivariate time series we characterise the joint distr…
math.PR2011★ 1 cited
Generalized Logistic Models and its orthant tail dependence
Helena Ferreira, Luísa Pereira
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution…