Untitled

Funder

Organizational Unit

Publications

Asymptotic dependence of bivariate maxima

Publication . Ferreira, Helena; Ferreira, Marta

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.

2018Journal article

Open access

Multidimensional extremal dependence coefficients

Publication . Ferreira, Helena; Ferreira, Marta

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.

2018Journal article

Open access

Confidence intervals for variance components in gauge capability studies

Publication . Ferreira, Dário; Ferreira, Sandra S.; Nunes, Célia; Oliveira, Teresa A.; Mexia, João T.

We present a method, that uses pivot variables, which are functions of statistics and parameters, of constructing confidence intervals for variance components in gauge capability studies. As illustration we will consider a study on repeatability and reproducibility measures. Besides this the paper includes a simulation study demonstrating that in approximately 9500 out of 10000 simulations the 95% confidence interval covers the true value of the parameter.

2018Journal article

Restricted access