Systematic co-occurrence of tail correlation functions among max-stable processes

Kirstin Strokorb; Felix Ballani; Martin Schlather

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arXiv · 1402.4632

Systematic co-occurrence of tail correlation functions among max-stable processes

Kirstin Strokorb·Felix Ballani·Martin Schlather

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Abstract

The tail correlation function (TCF) is one of the most popular bivariate extremal dependence measures that has entered the literature under various names. We study to what extent the TCF can distinguish between different classes of well-known max-stable processes and identify essentially different processes sharing the same TCF.

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Kirstin Strokorb, Felix Ballani, Martin Schlather. 2014-02-19. Systematic co-occurrence of tail correlation functions among max-stable processes. https://arxiv.org/abs/1402.4632

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