Measuring the extremal dependence (Q2483876)

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Language	Label	Description	Also known as
English	Measuring the extremal dependence	scientific article

Statements

scholarly article

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Measuring the extremal dependence (English)

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Helena Ferreira

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Ana Paula Martins

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Statistics \& Probability Letters

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publication date

1 August 2005

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zbMATH Keywords

multivariate extreme value theory

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spl.2005.02.015

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Dependence measures for extreme value analyses

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A directory of coefficients of tail dependence

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Extreme value theory for multivariate stationary sequences

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Parametric families of multivariate distributions with given margins

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Extremes and local dependence in stationary sequences

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Statistics for near independence in multivariate extreme values

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Domains of attraction of multivariate extreme value distributions

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On the multivariate extremal index

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Markov chain models for threshold exceedances

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Characterizations of a multivariate extreme value distribution

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The extremal index of a higher-order stationary Markov chain

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Identifiers

zbMATH Open document ID

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10.1016/j.spl.2005.02.015

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2483876

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