Dependence between two multivariate extremes

H. Ferreira

Statistics & Probability Letters, 2011, vol. 81, issue 5, 586-591

Abstract: We extend the characterizations given by Takahashi (1988) for the independence and the total dependence of the univariate marginals of a multivariate extreme value distribution to its multivariate marginals. We also deal with the problem of how to measure the strength of the dependence among multivariate extremes. By presenting new definitions for the extremal coefficient, we propose measures that summarize the dependence between two multivariate extreme value distributions and preserve the main properties of the known bivariate coefficient for two univariate extreme value distributions. Finally, we illustrate these contributions to model the dependence among multivariate marginals with examples.

Keywords: Independence; Total; dependence; Multivariate; extreme; value; distribution; Multivariate; marginals; Dependence; coefficients (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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