Dependence between two multivariate extremes

DOI10.1016/J.SPL.2011.01.014zbMath1209.62122OpenAlexW1978035207MaRDI QIDQ633053

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

zbMATH Keywords

independencetotal dependencemultivariate marginalsmultivariate extreme value distributiondependence coefficients

Mathematics Subject Classification ID

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

Related Items (5)

Generalized madogram and pairwise dependence of maxima over two regions of a random field ⋮ On extremal dependence: some contributions ⋮ Tail dependence between order statistics ⋮ Dependence matrices for spatial extreme events ⋮ Stability and contagion measures for spatial extreme value analyses

Cites Work

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• Parametric families of multivariate distributions with given margins
• Bivariate extreme statistics. I
• An introduction to copulas.
• Orthant tail dependence of multivariate extreme value distributions
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Tail dependence for elliptically contoured distributions
• Extreme value theory for multivariate stationary sequences
• Characterizations of a multivariate extreme value distribution

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