Max-min dependence coefficients for Multivariate Extreme Value Distributions
Probability
2013-04-26 v2
Abstract
We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its behaviour with respect to the multivariate concordance ordering is analysed. The definition of the min-max dependence coefficient is extended in order to evaluate the dependence among several multivariate extreme value distributions. The results are illustrated with some usual distributions.
Cite
@article{arxiv.1205.3954,
title = {Max-min dependence coefficients for Multivariate Extreme Value Distributions},
author = {Helena Ferreira},
journal= {arXiv preprint arXiv:1205.3954},
year = {2013}
}