IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v133y2018icp1-8.html
   My bibliography  Save this article

Multidimensional extremal dependence coefficients

Author

Listed:
  • Ferreira, Helena
  • Ferreira, Marta

Abstract

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.

Suggested Citation

  • Ferreira, Helena & Ferreira, Marta, 2018. "Multidimensional extremal dependence coefficients," Statistics & Probability Letters, Elsevier, vol. 133(C), pages 1-8.
    • Handle: RePEc:eee:stapro:v:133:y:2018:i:c:p:1-8
    DOI: 10.1016/j.spl.2017.09.018
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715217303127
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2017.09.018?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jennifer L. Wadsworth & Jonathan A. Tawn, 2012. "Dependence modelling for spatial extremes," Biometrika, Biometrika Trust, vol. 99(2), pages 253-272.
    2. Philippe Naveau & Armelle Guillou & Daniel Cooley & Jean Diebolt, 2009. "Modelling pairwise dependence of maxima in space," Biometrika, Biometrika Trust, vol. 96(1), pages 1-17.
    3. Marcon, Giulia & Padoan, Simone & Naveau, Philippe & Muliere, Pietro & Segers, Johan, 2016. "Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials," LIDAM Discussion Papers ISBA 2016020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Helena Ferreira & Marta Ferreira, 2021. "Tail dependence and smoothness of time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 198-210, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. A. Abu-Awwad & V. Maume-Deschamps & P. Ribereau, 2021. "Semiparametric estimation for space-time max-stable processes: an F-madogram-based approach," Statistical Inference for Stochastic Processes, Springer, vol. 24(2), pages 241-276, July.
    2. A. Abu-Awwad & V. Maume-Deschamps & P. Ribereau, 2020. "Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(2), pages 479-522, June.
    3. Manaf Ahmed & Véronique Maume‐Deschamps & Pierre Ribereau, 2022. "Recognizing a spatial extreme dependence structure: A deep learning approach," Environmetrics, John Wiley & Sons, Ltd., vol. 33(4), June.
    4. Marta Ferreira & Helena Ferreira, 2017. "Analyzing the Gaver—Lewis Pareto Process under an Extremal Perspective," Risks, MDPI, vol. 5(3), pages 1-12, June.
    5. Robert, Christian Y., 2013. "Some new classes of stationary max-stable random fields," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1496-1503.
    6. Lee Fawcett & David Walshaw, 2014. "Estimating the probability of simultaneous rainfall extremes within a region: a spatial approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(5), pages 959-976, May.
    7. Marcon, Giulia & Padoan, Simone & Naveau, Philippe & Muliere, Pietro & Segers, Johan, 2016. "Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials," LIDAM Discussion Papers ISBA 2016020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Padoan, Simone A., 2013. "Extreme dependence models based on event magnitude," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 1-19.
    9. Ji-Eun Choi & Dong Wan Shin, 2022. "Quantile correlation coefficient: a new tail dependence measure," Statistical Papers, Springer, vol. 63(4), pages 1075-1104, August.
    10. Papastathopoulos, Ioannis & Strokorb, Kirstin, 2016. "Conditional independence among max-stable laws," Statistics & Probability Letters, Elsevier, vol. 108(C), pages 9-15.
    11. Samuel A. Morris & Brian J. Reich & Emeric Thibaud & Daniel Cooley, 2017. "A space-time skew-t model for threshold exceedances," Biometrics, The International Biometric Society, vol. 73(3), pages 749-758, September.
    12. Keef, Caroline & Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "Estimation of the conditional distribution of a multivariate variable given that one of its components is large: Additional constraints for the Heffernan and Tawn model," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 396-404.
    13. Jordan Richards & Jennifer L. Wadsworth, 2021. "Spatial deformation for nonstationary extremal dependence," Environmetrics, John Wiley & Sons, Ltd., vol. 32(5), August.
    14. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2016. "Conditioned limit laws for inverted max-stable processes," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 214-228.
    15. R. Shooter & E. Ross & A. Ribal & I. R. Young & P. Jonathan, 2021. "Spatial dependence of extreme seas in the North East Atlantic from satellite altimeter measurements," Environmetrics, John Wiley & Sons, Ltd., vol. 32(4), June.
    16. Bücher, Axel & Volgushev, Stanislav & Zou, Nan, 2019. "On second order conditions in the multivariate block maxima and peak over threshold method," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 604-619.
    17. Martins, Ana Paula & Ferreira, Helena & Ferreira, Marta, 2022. "A new random field on lattices," Statistics & Probability Letters, Elsevier, vol. 186(C).
    18. Richards, Jordan & Tawn, Jonathan A., 2022. "On the tail behaviour of aggregated random variables," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    19. Kereszturi, Mónika & Tawn, Jonathan, 2017. "Properties of extremal dependence models built on bivariate max-linearity," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 52-71.
    20. Whitney K. Huang & Daniel S. Cooley & Imme Ebert-Uphoff & Chen Chen & Snigdhansu Chatterjee, 2019. "New Exploratory Tools for Extremal Dependence: $$\chi $$ χ Networks and Annual Extremal Networks," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 24(3), pages 484-501, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:133:y:2018:i:c:p:1-8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.