Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/61561

TitleAsymptotic dependence of bivariate maxima
Author(s)Ferreira, Helena
Ferreira, Marta Susana
KeywordsExtreme value theory
Stationary sequences
Asymptotic dependence
Dependence conditions
Issue date2019
PublisherTaylor and Francis
JournalCommunications in Statistics - Theory and Methods
Abstract(s)The Ledford and Tawn model for the bivariate tail incorporates a coefficient, $\eta$, 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.
TypeArticle
URIhttp://hdl.handle.net/1822/61561
DOI10.1080/03610926.2018.1475568
ISSN0361-0926
e-ISSN1532-415X
Publisher versionhttps://doi.org/10.1080/03610926.2018.1475568
Peer-Reviewedyes
AccessOpen access
Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

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