Domination of sample maxima and related extremal dependence measures

Hashorva Enkelejd ()
Additional contact information
Hashorva Enkelejd: Department of Actuarial Science University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland

Dependence Modeling, 2016, vol. 6, issue 1, 88-101

Abstract: For a given d-dimensional distribution function (df) H we introduce the class of dependence measures μ(H, Q) = −E{n H(Z1, . . . , Zd)}, where the random vector (Z1, . . . , Zd) has df Q which has the same marginal dfs as H. If both H and Q are max-stable dfs, we show that for a df F in the max-domain of attraction of H, this dependence measure explains the extremal dependence exhibited by F. Moreover, we prove that μ(H, Q) is the limit of the probability that the maxima of a random sample from F is marginally dominated by some random vector with df in the max-domain of attraction of Q. We show a similar result for the complete domination of the sample maxima which leads to another measure of dependence denoted by λ(Q, H). In the literature λ(H, H), with H a max-stable df, has been studied in the context of records, multiple maxima, concomitants of order statistics and concurrence probabilities. It turns out that both μ(H, Q) and λ(Q, H) are closely related. If H is max-stable we derive useful representations for both μ(H, Q) and λ(Q, H). Our applications include equivalent conditions for H to be a product df and F to have asymptotically independent components.

Keywords: Max-stable distributions; domination of sample maxima; extremal dependence; inf-argmax formula; de Haan representation; records; multiple maxima; concomitants of order statistics; concurrent probabilities (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/demo-2018-0005 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:6:y:2016:i:1:p:88-101:n:5

DOI: 10.1515/demo-2018-0005

Access Statistics for this article

Dependence Modeling is currently edited by Giovanni Puccetti

More articles in Dependence Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().