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On the multivariate upcrossings index

Viseu, C. ; Pereira, L. ; Martins, A. P.; Ferreira, Helena

Communications in Statistics - Theory and Methods, 43(6) (2014),

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.