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arXiv · 1701.01340

Multidimensional extremal dependence coefficients

Helena Ferreira·Marta Ferreira
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Abstract

Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or 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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Helena Ferreira, Marta Ferreira. 2017-01-05. Multidimensional extremal dependence coefficients. https://arxiv.org/abs/1701.01340

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