Measuring the extremal dependence

DOI10.1016/J.SPL.2005.02.015MaRDI QIDQ2483876zbMATH OpenOpenAlexFDO

Authors Helena Ferreira, Ana Paula Martins

Publication date 1 August 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.02.015

zbMATH Keywords

multivariate extreme value theory

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Multivariate analysis (62H99)

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• Measuring asymptotic dependence of extremes and tests based on tail indexes
• Extremal dependence concepts
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Cites work

• A directory of coefficients of tail dependence
• Characterizations of a multivariate extreme value distribution
• Dependence measures for extreme value analyses
• Domains of attraction of multivariate extreme value distributions
• Extreme value theory for multivariate stationary sequences
• Extremes and local dependence in stationary sequences
• scientific article; zbMATH DE number 3644242 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 3592801 (Why is no real title available?)
• Markov chain models for threshold exceedances
• On the multivariate extremal index
• Parametric families of multivariate distributions with given margins
• Statistics for near independence in multivariate extreme values
• The extremal index of a higher-order stationary Markov chain

Cited in

(12)

• Estimating the multivariate extremal index function
• On extremal dependence: some contributions
• Extremal dependence measure for functional data
• Capturing the multivariate extremal index: bounds and interconnections
• On the extremal dependence coefficient of multivariate distributions
• Max-min dependence coefficients for multivariate extreme value distributions
• The Extremal Dependence Measure and Asymptotic Independence
• EXTREMAL DEPENDENCE: INTERNET TRAFFIC APPLICATIONS
• Measures of Dependence for Infinite Variance Distributions
• Dependence between two multivariate extremes
• Extremal dependence measure and extremogram: the regularly varying case
• Orthant tail dependence of multivariate extreme value distributions

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