Asymptotic dependence of bivariate maxima

Detalhes bibliográficos
Autor(a) principal: Ferreira, Helena
Data de Publicação: 2018
Outros Autores: Ferreira, Marta
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.6/8166
Resumo: The Ledford and Tawn model for the bivariate tail incorporates a coefficient, η, as a measure of pre-asymptotic dependence between the marginals. However, in the limiting bivariate extreme value model, G, of suitably normalized component-wise maxima, it is just a shape parameter without reflecting any description of the dependency in G. Under some local dependence conditions,we consider an index that describes the pre-asymptotic dependence in this context. We analyze some particular cases considered in the literature and illustrate with examples. A small discussion on inference is presented at the end.
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spelling Asymptotic dependence of bivariate maximaExtreme value theoryStationary sequencesAsymptotic dependenceDependence conditionsThe Ledford and Tawn model for the bivariate tail incorporates a coefficient, η, as a measure of pre-asymptotic dependence between the marginals. However, in the limiting bivariate extreme value model, G, of suitably normalized component-wise maxima, it is just a shape parameter without reflecting any description of the dependency in G. Under some local dependence conditions,we consider an index that describes the pre-asymptotic dependence in this context. We analyze some particular cases considered in the literature and illustrate with examples. A small discussion on inference is presented at the end.uBibliorumFerreira, HelenaFerreira, Marta2020-01-09T14:48:50Z20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.6/8166engHelena Ferreira & Marta Ferreira (2019) Asymptotic dependence of bivariate maxima, Communications in Statistics - Theory and Methods, 48:13, 3269-3279, DOI: 10.1080/03610926.2018.147556810.1080/03610926.2018.1475568info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-12-15T09:46:24Zoai:ubibliorum.ubi.pt:10400.6/8166Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:47:46.800340Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Asymptotic dependence of bivariate maxima
title Asymptotic dependence of bivariate maxima
spellingShingle Asymptotic dependence of bivariate maxima
Ferreira, Helena
Extreme value theory
Stationary sequences
Asymptotic dependence
Dependence conditions
title_short Asymptotic dependence of bivariate maxima
title_full Asymptotic dependence of bivariate maxima
title_fullStr Asymptotic dependence of bivariate maxima
title_full_unstemmed Asymptotic dependence of bivariate maxima
title_sort Asymptotic dependence of bivariate maxima
author Ferreira, Helena
author_facet Ferreira, Helena
Ferreira, Marta
author_role author
author2 Ferreira, Marta
author2_role author
dc.contributor.none.fl_str_mv uBibliorum
dc.contributor.author.fl_str_mv Ferreira, Helena
Ferreira, Marta
dc.subject.por.fl_str_mv Extreme value theory
Stationary sequences
Asymptotic dependence
Dependence conditions
topic Extreme value theory
Stationary sequences
Asymptotic dependence
Dependence conditions
description The Ledford and Tawn model for the bivariate tail incorporates a coefficient, η, as a measure of pre-asymptotic dependence between the marginals. However, in the limiting bivariate extreme value model, G, of suitably normalized component-wise maxima, it is just a shape parameter without reflecting any description of the dependency in G. Under some local dependence conditions,we consider an index that describes the pre-asymptotic dependence in this context. We analyze some particular cases considered in the literature and illustrate with examples. A small discussion on inference is presented at the end.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018-01-01T00:00:00Z
2020-01-09T14:48:50Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.6/8166
url http://hdl.handle.net/10400.6/8166
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Helena Ferreira & Marta Ferreira (2019) Asymptotic dependence of bivariate maxima, Communications in Statistics - Theory and Methods, 48:13, 3269-3279, DOI: 10.1080/03610926.2018.1475568
10.1080/03610926.2018.1475568
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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