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Authors
Advisor(s)
Abstract(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.
Description
Keywords
Extreme value theory Stationary sequences Asymptotic dependence Dependence conditions
Citation
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