Multidimensional extremal dependence coefficients

@article{Ferreira2017MultidimensionalED,
title={Multidimensional extremal dependence coefficients},
author={Helena Ferreira and Marta Ferreira},
journal={Statistics \& Probability Letters},
year={2017},
volume={133},
pages={1-8}
}
• Published 5 January 2017
• Education
• Statistics & Probability Letters
5 Citations

Tail dependence and smoothness

• Computer Science
• 2019
A smoothness coefficient is proposed to evaluate the degree of smoothness/oscillation in the trajectory of a process, with an intuitive reading and simple estimation and it is seen that, in a stationary process, it coincides with the tail dependence coefficient $\lambda$ (Sibuya 1960, Joe 1997), providing a new interpretation of the latter.

A crossinggram for random fields on lattices

• Computer Science
• 2019
The coefficients that are proposed give information about the tendency of a random field for local oscillations of its values in relation to real valued high levels, and can observe surface trajectories more smooth over a region according to higher crossinggram value.

Tail dependence and smoothness of time series

• Mathematics
TEST
• 2020
The risk of catastrophes is related to the possibility of occurring extreme values. Several statistical methodologies have been developed in order to evaluate the propensity of a process for the

Asymmetric copula–based distribution models for met-ocean data in offshore wind engineering applications

• Engineering
Wind Engineering
• 2018
Joint statistical models for long-term wave climate are a key aspect of offshore wind engineering design. However, to find a joint model for sea-state characteristics is often difficult due to the

Upper tail dependence and smoothness of random fields

• Computer Science
• 2019
The objective of this work is to quantify the smoothness of a random field through coefficients that are easy to estimate and use in applications.

References

SHOWING 1-10 OF 19 REFERENCES

MADOGRAM AND ASYMPTOTIC INDEPENDENCE AMONG MAXIMA

• A strong statistical research effort has been devoted in multivariate extreme value theory in order to assess the strength of dependence among extremes. This topic is particularly difficult in the

Dependence of maxima in space

• Mathematics
• 2015
We evaluate the dependence among large values of a spatial process of maxima trough a coefficient that can be applied in natural, technical and societal extreme phenomena. Its main properties are: a)

Statistics for near independence in multivariate extreme values

• Mathematics
• 1996
We propose a multivariate extreme value threshold model for joint tail estimation which overcomes the problems encountered with existing techniques when the variables are near independence. We

On extremal dependence of block vectors

• Mathematics
Kybernetika
• 2012
A tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones are presented and it is seen that in weakening the usual required dependence allows to assess the amount of dependence in \$d-variate random vectors based on bidimensional techniques.

Generalized Logistic Models and its orthant tail dependence

• Mathematics
Kybernetika
• 2011
The parametric family of multivariate extreme value distributions considered presents a flexible dependence structure and the multivariate tail dependence coefficients considered in Li (2009) are computed.

Generalized madogram and pairwise dependence of maxima over two regions of a random field

• Computer Science, Mathematics
Kybernetika
• 2015
This paper introduces a measure that evaluates the dependence among extreme observations located in two separated regions of locations of R^2, which extends the existing {\lambda}-madogram concept and compares it with extremal coefficients, finding generalizations of the known relations in pairwise approach.

An Introduction to Copulas

These notes provide an introduction to modeling with copulas. Copulas are the mechanism which allows us to isolate the dependency structure in a multivariate distribution. In particular, we can

Dependence modelling for spatial extremes

• Mathematics
• 2012
Current dependence models for spatial extremes are based upon max-stable processes. Within this class, there are few inferentially viable models available, and we propose one further model. More

An Alternative Point Process Framework for Modeling Multivariate Extreme Values

• Mathematics
• 2011
An alternative limiting point process to that of de Haan (1985) is studied that holds regardless of whether the underlying data generation mechanism is asymptotically dependent or asymptotically