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Bivariate Tail Dependence and the Generation of Multivariate Extreme Value Distributions

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  • Helena Ferreira

Abstract

We define, in a probabilistic way, a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and total independent copulas, and the bivariate tail dependence and extremal coefficients. Based on the obtained results for these coefficients, we propose a method to build multivariate extreme value distributions with prescribed tail/extremal coefficients. We illustrate the results with examples.

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  • Helena Ferreira, 2014. "Bivariate Tail Dependence and the Generation of Multivariate Extreme Value Distributions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(24), pages 5318-5325, December.
    • Handle: RePEc:taf:lstaxx:v:43:y:2014:i:24:p:5318-5325
    DOI: 10.1080/03610926.2012.744052
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