Systematic co-occurrence of tail correlation functions among max-stable processes
Probability
2014-02-20 v1
Abstract
The tail correlation function (TCF) is one of the most popular bivariate extremal dependence measures that has entered the literature under various names. We study to what extent the TCF can distinguish between different classes of well-known max-stable processes and identify essentially different processes sharing the same TCF.
Keywords
Cite
@article{arxiv.1402.4632,
title = {Systematic co-occurrence of tail correlation functions among max-stable processes},
author = {Kirstin Strokorb and Felix Ballani and Martin Schlather},
journal= {arXiv preprint arXiv:1402.4632},
year = {2014}
}
Comments
31 pages, 4 Tables, 5 Figures