Asymptotic dependence of bivariate maxima

Ferreira, Helena; Ferreira, Marta

Publication

Asymptotic dependence of bivariate maxima

2018Journal article

dc.contributor.author	Ferreira, Helena
dc.contributor.author	Ferreira, Marta
dc.date.accessioned	2020-01-09T14:48:50Z
dc.date.available	2020-01-09T14:48:50Z
dc.date.issued	2018
dc.description.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.	pt_PT
dc.description.version	info:eu-repo/semantics/publishedVersion	pt_PT
dc.identifier.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	pt_PT
dc.identifier.doi	10.1080/03610926.2018.1475568	pt_PT
dc.identifier.uri	http://hdl.handle.net/10400.6/8166
dc.language.iso	eng	pt_PT
dc.peerreviewed	yes	pt_PT
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	pt_PT
dc.subject	Extreme value theory	pt_PT
dc.subject	Stationary sequences	pt_PT
dc.subject	Asymptotic dependence	pt_PT
dc.subject	Dependence conditions	pt_PT
dc.title	Asymptotic dependence of bivariate maxima	pt_PT
dc.type	journal article
dspace.entity.type	Publication
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oaire.citation.endPage	3279	pt_PT
oaire.citation.issue	13	pt_PT
oaire.citation.startPage	3269	pt_PT
oaire.citation.volume	48	pt_PT
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person.familyName	Ferreira
person.givenName	Helena
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person.identifier.orcid	0000-0001-9392-7259
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project.funder.identifier	http://doi.org/10.13039/501100001871
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project.funder.name	Fundação para a Ciência e a Tecnologia
project.funder.name	Fundação para a Ciência e a Tecnologia
project.funder.name	Fundação para a Ciência e a Tecnologia
project.funder.name	Fundação para a Ciência e a Tecnologia
rcaap.rights	openAccess	pt_PT
rcaap.type	article	pt_PT
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