Asymptotic dependence of bivariate maxima

Helena Ferreira and Marta Ferreira

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 13, 3269-3279

Abstract: The Ledford and Tawn model for the bivariate tail incorporates a coefficient, η, as a measure of pre-asymptotic dependence between the marginals. However, in the limiting bivariate extreme value model, G, of suitably normalized component-wise maxima, it is just a shape parameter without reflecting any description of the dependency in G. Under some local dependence conditions, we consider an index that describes the pre-asymptotic dependence in this context. We analyze some particular cases considered in the literature and illustrate with examples. A small discussion on inference is presented at the end.

Date: 2019
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DOI: 10.1080/03610926.2018.1475568

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