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arXiv · 1406.5973

Dependence of maxima in space

Helena Ferreira·Luisa Pereira
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Abstract

We propose a coefficient that measures the dependence among large values for spatial processes of maxima. Its main properties are: a) $k$ locations can be taken into account; b) it takes values in $[0,1]$ and higher values indicate stronger dependence; c) it is independent of the univariate marginal distributions of the random field; d) it can be related with the tail dependence and the extremal coefficients; e) it agrees with the concordance property for multivariate distributions; f) it has as a particular case the variogram from geostatistics; g) it can be easily estimated.

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Helena Ferreira, Luisa Pereira. 2014-06-23. Dependence of maxima in space. https://doi.org/10.1088/1742-6596/574/1/012021

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