Multidimensional extremal dependence coefficients

DOI10.1016/J.SPL.2017.09.018MaRDI QIDQ680461zbMATH OpenOpenAlexFDO

Authors Marta Ferreira, Helena Ferreira

Publication date 23 January 2018

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

Full work available at URL https://arxiv.org/abs/1701.01340, http://hdl.handle.net/10400.6/8167

zbMATH Keywords

tail dependencerandom fieldsextremal coefficientsmultivariate extreme value models

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Abstract: Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional phenomena. The analysis of the dependence among multivariate maxima is useful to evaluate risk. Here we present new multivariate extreme value models, as well as, coefficients to assess multivariate extremal dependence.

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Cites work

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Cited in

(9)

• Multivariate extreme value theory and its usefulness in understanding risk
• A crossinggram for random fields on lattices
• Max-min dependence coefficients for multivariate extreme value distributions
• Dependence between two multivariate extremes
• Tail dependence and smoothness of time series
• Multivariate determinates
• Determining the dependence structure of multivariate extremes
• Extreme dependence models
• Extreme residual dependence for random vectors and processes

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