کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1154965 958424 2011 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dependence between two multivariate extremes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Dependence between two multivariate extremes
چکیده انگلیسی

We extend the characterizations given by Takahashi (1988) for the independence and the total dependence of the univariate marginals of a multivariate extreme value distribution to its multivariate marginals. We also deal with the problem of how to measure the strength of the dependence among multivariate extremes. By presenting new definitions for the extremal coefficient, we propose measures that summarize the dependence between two multivariate extreme value distributions and preserve the main properties of the known bivariate coefficient for two univariate extreme value distributions. Finally, we illustrate these contributions to model the dependence among multivariate marginals with examples.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 81, Issue 5, May 2011, Pages 586–591
نویسندگان
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