Dependence of maxima in space
Statistics Theory
2015-06-22 v1 Statistics Theory
Abstract
We propose a coefficient that measures the dependence among large values for spatial processes of maxima. Its main properties are: a) locations can be taken into account; b) it takes values in and higher values indicate stronger dependence; c) it is independent of the univariate marginal distributions of the random field; d) it can be related with the tail dependence and the extremal coefficients; e) it agrees with the concordance property for multivariate distributions; f) it has as a particular case the variogram from geostatistics; g) it can be easily estimated.
Cite
@article{arxiv.1406.5973,
title = {Dependence of maxima in space},
author = {Helena Ferreira and Luisa Pereira},
journal= {arXiv preprint arXiv:1406.5973},
year = {2015}
}