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...Expand abstract
- Working Papers
- Publication date:
- Local pid:
- Copyright date:
A new class of models for bivarate joint tails.
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record