Local dependence functions for extreme value distributions

Saralees Nadarajah, Kosto Mitov and Samuel Kotz

Journal of Applied Statistics, 2003, vol. 30, issue 10, 1081-1100

Abstract: Kotz & Nadarajah (2002) introduced a measure of local dependence which is a localized version of the Pearson's correlation coefficient. In this paper we provide detailed analyses (both algebraic and numerical) of the form of the measure for the class of bivariate extreme value distributions. We consider, in particular, five families of bivariate extreme value distributions. We also discuss two applications of the new measure. In the first application we introduce an overall measure of correlation and produce evidence to suggest that it is superior than the usual Pearson's correlation coefficient. The second application introduces two new concepts for ordering of bivariate dependence.

Date: 2003
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DOI: 10.1080/0266476032000107123

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