Asymptotic dependence of bivariate maxima

Ferreira, Helena; Ferreira, Marta

http://hdl.handle.net/10400.6/8166

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Autores

Ferreira, Helena

Ferreira, Marta

Resumo(s)

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.

Palavras-chave

Extreme value theory Stationary sequences Asymptotic dependence Dependence conditions

URI

http://hdl.handle.net/10400.6/8166

Citação

Helena Ferreira & Marta Ferreira (2019) Asymptotic dependence of bivariate maxima, Communications in Statistics - Theory and Methods, 48:13, 3269-3279, DOI: 10.1080/03610926.2018.1475568