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

 Title: Asymptotic dependence of bivariate maxima Author(s): Ferreira, HelenaFerreira, Marta Susana Keywords: Extreme value theoryStationary sequencesAsymptotic dependenceDependence conditions Issue date: 2019 Publisher: Taylor and Francis Journal: Communications 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. Type: Article URI: http://hdl.handle.net/1822/61561 DOI: 10.1080/03610926.2018.1475568 ISSN: 0361-0926 e-ISSN: 1532-415X Publisher version: https://doi.org/10.1080/03610926.2018.1475568 Peer-Reviewed: yes Access: Open access Appears in Collections: CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

Files in This Item:
File Description SizeFormat