Domination of sample maxima and related extremal dependence measures
For a given d-dimensional distribution function (df) H we introduce the class of dependence measures μ(H, Q) = −E{n H(Z1, . . . , Zd)}, where the random vector (Z1, . . . , Zd) has df Q which has the same marginal dfs as H. If both H and Q are max-stable dfs, we show that for a df F in the max-domai...
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| Format: | Article |
| Language: | English |
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De Gruyter
2018-05-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2018-0005 |