Dependence of multivariate extremes

Clara Viseu; Luísa Pereira; Ana Paula Martins; Helena Ferreira

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arXiv · 1006.1602

Dependence of multivariate extremes

Clara Viseu·Luísa Pereira·Ana Paula Martins·Helena Ferreira

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Abstract

We give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value distribution, corresponding to the limit distribution of the maximum of a multidimensional stationary sequence with extremal index, to be independent or totally dependent. Those conditions involve first relations between the multivariate extremal indexes of the sequences and secondly a coefficient that measure the strength of dependence between both sub-vectors. The main results are illustrated with an auto-regressive sequence and a 3-dependent sequence.

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Clara Viseu, Luísa Pereira, Ana Paula Martins, Helena Ferreira. 2010-06-08. Dependence of multivariate extremes. https://arxiv.org/abs/1006.1602

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