Dependence between two multivariate extremes

DOI10.1016/J.SPL.2011.01.014zbMATH Open1209.62122OpenAlexW1978035207MaRDI QIDQ633053FDOQ633053

Authors: Helena Ferreira 

Publication date: 31 March 2011

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

Full work available at URL: https://doi.org/10.1016/j.spl.2011.01.014

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zbMATH Keywords

independencemultivariate marginalsmultivariate extreme value distributiondependence coefficientstotal dependence

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas.
• Bivariate extreme statistics. I
• Tail dependence for elliptically contoured distributions
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Parametric families of multivariate distributions with given margins
• Extreme value theory for multivariate stationary sequences
• Characterizations of a multivariate extreme value distribution
• Title not available (Why is that?)
• Orthant tail dependence of multivariate extreme value distributions

Cited In (11)

• Measures of multivariate asymptotic dependence and their relation to spectral expansions
• Dependence measures for extreme value analyses
• A note on the independence and total dependence of max i.d. distributions
• Stability and contagion measures for spatial extreme value analyses
• Increasing interdependence of multivariate distributions
• Tail dependence between order statistics
• On extremal dependence: some contributions
• Generalized madogram and pairwise dependence of maxima over two regions of a random field
• Local dependence functions for extreme value distributions
• Dependence matrices for spatial extreme events
• Multidimensional extremal dependence coefficients

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