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https://hdl.handle.net/1822/61561
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Campo DC | Valor | Idioma |
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dc.contributor.author | Ferreira, Helena | por |
dc.contributor.author | Ferreira, Marta Susana | por |
dc.date.accessioned | 2019-10-01T14:31:56Z | - |
dc.date.available | 2019-10-01T14:31:56Z | - |
dc.date.issued | 2019 | - |
dc.identifier.issn | 0361-0926 | por |
dc.identifier.uri | https://hdl.handle.net/1822/61561 | - |
dc.description.abstract | 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. | por |
dc.description.sponsorship | The first author’s research was partially supported by the research unit UID/MAT/00212/2013. The second author was financed by Portuguese Funds through FCT - Fundação para a Ciência e a Tecnologia within the Projects UID/MAT/00013/2013, UID/MAT/00006/2013 and by the research center CEMAT (Instituto Superior Técnico, Universidade de Lisboa) through the Project UID/Multi/04621/2013. | por |
dc.language.iso | eng | por |
dc.publisher | Taylor & Francis | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147370/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147410/PT | por |
dc.rights | openAccess | por |
dc.subject | Extreme value theory | por |
dc.subject | Stationary sequences | por |
dc.subject | Asymptotic dependence | por |
dc.subject | Dependence conditions | por |
dc.title | Asymptotic dependence of bivariate maxima | por |
dc.type | article | por |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | https://doi.org/10.1080/03610926.2018.1475568 | por |
oaire.citationStartPage | 3269 | por |
oaire.citationEndPage | 3279 | por |
oaire.citationIssue | 13 | por |
oaire.citationVolume | 48 | por |
dc.identifier.eissn | 1532-415X | por |
dc.identifier.doi | 10.1080/03610926.2018.1475568 | por |
dc.subject.fos | Ciências Naturais::Matemáticas | por |
dc.subject.wos | Science & Technology | por |
sdum.journal | Communications in Statistics - Theory and Methods | por |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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AsymDepBivMax_ackn.pdf | manuscript | 370,4 kB | Adobe PDF | Ver/Abrir |