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Asymptotic dependence of bivariate maxima

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  • Helena Ferreira
  • Marta Ferreira

Abstract

The Ledford and Tawn model for the bivariate tail incorporates a coefficient, η, as a measure of pre-asymptotic dependence between the marginals. However, in the limiting bivariate extreme value model, G, of suitably normalized component-wise maxima, it is just a shape parameter without reflecting any description of the dependency in G. Under some local dependence conditions, we consider an index that describes the pre-asymptotic dependence in this context. We analyze some particular cases considered in the literature and illustrate with examples. A small discussion on inference is presented at the end.

Suggested Citation

  • Helena Ferreira & Marta Ferreira, 2019. "Asymptotic dependence of bivariate maxima," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(13), pages 3269-3279, July.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:13:p:3269-3279
    DOI: 10.1080/03610926.2018.1475568
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