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Article . 2018 . Peer-reviewed
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Article . 2017
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Multidimensional extremal dependence coefficients

Authors: Ferreira, Helena; Ferreira, Marta;

Multidimensional extremal dependence coefficients

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.

Country
Portugal
Keywords

tail dependence, multivariate extreme value models, Mathematics - Statistics Theory, Statistics Theory (math.ST), Extreme value theory; extremal stochastic processes, Tail dependence, extremal coefficients, Extremal coefficients, FOS: Mathematics, random fields, Random fields, Multivariate extreme value models, Ciências Naturais::Matemáticas

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
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