Dependence of multivariate extremes

Details Dependence of multivariate extremes Dependence of multivariate extremes

2010-06-08

arxiv.org/abs/1006.1602v1

Mathematics

Probability

10 pages

Scientific paper

We give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value distribution, corresponding to the limit distribution of the maximum of a multidimensional stationary sequence with extremal index, to be independent or totally dependent. Those conditions involve first relations between the multivariate extremal indexes of the sequences and secondly a coefficient that measure the strength of dependence between both sub-vectors. The main results are illustrated with an auto-regressive sequence and a 3-dependent sequence.

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