- Abstract:
-
A fundamental issue in applied multivariate extreme value (MEV) analysis is modelling dependence within joint tail regions. The primary focus of this work is to extend the classical pseudo-polar treatment of multivariate extremes so as to develop an asymptotically motivated representation of extremal dependence that also encompasses asymptotic independence. Starting with the usual mild bivariate regular variation assumptions that underpin the coefficient of tail dependence as a measure of ext...
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- Volume:
- 2008OMI04
- Series:
- Working Papers
- Publication date:
- 2008-07-04
- URN:
-
uuid:87f5a2cf-ae23-4893-9512-2aa141b4b429
- Local pid:
- oai:economics.ouls.ox.ac.uk:13036
- Language:
- English
- Copyright date:
- 2008
Working paper
A new class of models for bivarate joint tails.
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