Multidimensional extremal dependence coefficients
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 multiv...
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| Format: | article |
| Language: | eng |
| Published: |
2018
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| Online Access: | http://hdl.handle.net/1822/50646 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/50646 |
| Summary: | 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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