Dependence of multivariate extremes
Probability
2010-06-09 v1
Abstract
We give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value distribution, corresponding to the limit distribution of the maximum of a multidimensional stationary sequence with extremal index, to be independent or totally dependent. Those conditions involve first relations between the multivariate extremal indexes of the sequences and secondly a coefficient that measure the strength of dependence between both sub-vectors. The main results are illustrated with an auto-regressive sequence and a 3-dependent sequence.
Cite
@article{arxiv.1006.1602,
title = {Dependence of multivariate extremes},
author = {Clara Viseu and Luísa Pereira and Ana Paula Martins and Helena Ferreira},
journal= {arXiv preprint arXiv:1006.1602},
year = {2010}
}
Comments
10 pages