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Max-min dependence coefficients for Multivariate Extreme Value Distributions - MaRDI portal

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Max-min dependence coefficients for Multivariate Extreme Value Distributions

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Publication:2990083

zbMATH Open1344.60054arXiv1205.3954MaRDI QIDQ2990083

Author name not available (Why is that?)

Publication date: 29 July 2016

Abstract: We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its behaviour with respect to the multivariate concordance ordering is analysed. The definition of the min-max dependence coefficient is extended in order to evaluate the dependence among several multivariate extreme value distributions. The results are illustrated with some usual distributions.


Full work available at URL: https://arxiv.org/abs/1205.3954



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