Abstract

We deal with the problem of how to measure the strength of the dependence in the extremes. Probabilistic and statistical methods for multivariate extreme values motivate an adjustment in the definition of the extremal coefficient. We point out that the available extremal coefficient does not measure correctly the dependence in the limiting distribution of maxima when a multivariate extremal index is present and propose an adjustment of this coefficient in order to cover this case and preserve its main properties. We will present a new definition for the extremal coefficient and relate it with the tail dependence. Finally, we illustrate this contribution with examples.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.