Measuring the extremal dependence

DOI10.1016/J.SPL.2005.02.015zbMATH Open1065.62092OpenAlexW2045247732MaRDI QIDQ2483876FDOQ2483876

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

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zbMATH Keywords

multivariate extreme value theory

Mathematics Subject Classification ID

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

Cites Work

• Statistics for near independence in multivariate extreme values
• Title not available (Why is that?)
• On the multivariate extremal index
• Markov chain models for threshold exceedances
• Extremes and local dependence in stationary sequences
• Parametric families of multivariate distributions with given margins
• Dependence measures for extreme value analyses
• Extreme value theory for multivariate stationary sequences
• Title not available (Why is that?)
• The extremal index of a higher-order stationary Markov chain
• Characterizations of a multivariate extreme value distribution
• A directory of coefficients of tail dependence
• Title not available (Why is that?)
• Domains of attraction of multivariate extreme value distributions

Cited In (12)

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

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