Multidimensional extremal dependence coefficients

Helena Ferreira and Marta Ferreira

Statistics & Probability Letters, 2018, vol. 133, issue C, 1-8

Abstract: Extreme value modeling has been attracting the attention of researchers in diverse areas such as the environment, engineering, and 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.

Keywords: Multivariate extreme value models; Tail dependence; Extremal coefficients; Random fields (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2017.09.018

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