Multidimensional extremal dependence coefficients

DOI10.1016/J.SPL.2017.09.018zbMATH Open1386.60186arXiv1701.01340OpenAlexW2579761994MaRDI QIDQ680461FDOQ680461

Authors: Marta Ferreira, Helena Ferreira 

Publication date: 23 January 2018

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

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.

Full work available at URL: https://arxiv.org/abs/1701.01340

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zbMATH Keywords

tail dependencerandom fieldsextremal coefficientsmultivariate extreme value models

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cited In (5)

• A crossinggram for random fields on lattices
• Dependence between two multivariate extremes
• Tail dependence and smoothness of time series
• Multivariate determinates
• Extreme residual dependence for random vectors and processes

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