Max-min dependence coefficients for Multivariate Extreme Value Distributions

Helena Ferreira

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arXiv · 1205.3954

Max-min dependence coefficients for Multivariate Extreme Value Distributions

Helena Ferreira

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Abstract

We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its behaviour with respect to the multivariate concordance ordering is analysed. The definition of the min-max dependence coefficient is extended in order to evaluate the dependence among several multivariate extreme value distributions. The results are illustrated with some usual distributions.

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Helena Ferreira. 2013-04-25. Max-min dependence coefficients for Multivariate Extreme Value Distributions. https://arxiv.org/abs/1205.3954

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