Multidimensional extremal dependence coefficients

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/10400.6/8167
Resumo: Extreme value modeling has been attracting the attention of researchers in diverse areas such as the environment, engineering, and finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional phenomena. The analysis of the dependence among multivariate maxima is useful to evaluate risk. Here we present new multivariate extreme value models, as well as, coefficients to assess multivariate extremal dependence.
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spelling Multidimensional extremal dependence coefficientsMultivariate extreme value modelsTail dependenceExtremal coefficientsRandom fieldsExtreme value modeling has been attracting the attention of researchers in diverse areas such as the environment, engineering, and finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional phenomena. The analysis of the dependence among multivariate maxima is useful to evaluate risk. Here we present new multivariate extreme value models, as well as, coefficients to assess multivariate extremal dependence.uBibliorumFerreira, HelenaFerreira, Marta2020-01-09T14:53:02Z20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.6/8167eng10.1016/j.spl.2017.09.018info: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:10400.6/8167Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:47:46.842900Repositório 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 Multidimensional extremal dependence coefficients
title Multidimensional extremal dependence coefficients
spellingShingle Multidimensional extremal dependence coefficients
Ferreira, Helena
Multivariate extreme value models
Tail dependence
Extremal coefficients
Random fields
title_short Multidimensional extremal dependence coefficients
title_full Multidimensional extremal dependence coefficients
title_fullStr Multidimensional extremal dependence coefficients
title_full_unstemmed Multidimensional extremal dependence coefficients
title_sort Multidimensional extremal dependence coefficients
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 Multivariate extreme value models
Tail dependence
Extremal coefficients
Random fields
topic Multivariate extreme value models
Tail dependence
Extremal coefficients
Random fields
description Extreme value modeling has been attracting the attention of researchers in diverse areas such as the environment, engineering, and finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional phenomena. The analysis of the dependence among multivariate maxima is useful to evaluate risk. Here we present new multivariate extreme value models, as well as, coefficients to assess multivariate extremal dependence.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018-01-01T00:00:00Z
2020-01-09T14:53:02Z
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/10400.6/8167
url http://hdl.handle.net/10400.6/8167
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1016/j.spl.2017.09.018
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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instacron:RCAAP
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