Multidimensional extremal dependence coefficients

doi:10.1016/j.spl.2017.09.018

Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/50646

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Campo DC	Valor	Idioma
dc.contributor.author	Ferreira, Helena	por
dc.contributor.author	Ferreira, Marta Susana	por
dc.date.accessioned	2018-02-19T13:56:27Z	-
dc.date.issued	2018	-
dc.identifier.issn	0167-7152	por
dc.identifier.uri	https://hdl.handle.net/1822/50646	-
dc.description.abstract	Extreme value modeling has been attracting the attention of researchers in diverse areas such as the environment, engineering, and finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional phenomena. The analysis of the dependence among multivariate maxima is useful to evaluate risk. Here we present new multivariate extreme value models, as well as, coefficients to assess multivariate extremal dependence.	por
dc.description.sponsorship	The authors wish to thank the reviewers for their careful reading and relevant comments that have improved this work. The first author’s research was partially supported by the research unit UID/MAT/00212/2013. The second author was financed by Portuguese Funds through FCT—Fundação para a Ciência e a Tecnologia within the Projects UID/MAT/00013/2013, UID/MAT/00006/2013 and by the research center CEMAT (Instituto Superior Técnico, Universidade de Lisboa) through the Project UID/Multi/04621/2013.	por
dc.language.iso	eng	por
dc.publisher	Elsevier 1	por
dc.relation	info:eu-repo/grantAgreement/FCT/5876/147408/PT	por
dc.relation	info:eu-repo/grantAgreement/FCT/5876/147370/PT	por
dc.relation	info:eu-repo/grantAgreement/FCT/5876/147410/PT	por
dc.relation	info:eu-repo/grantAgreement/FCT/5876/147271/PT	por
dc.rights	restrictedAccess	por
dc.subject	Multivariate extreme value models	por
dc.subject	Tail dependence	por
dc.subject	Extremal coefficients	por
dc.subject	Random fields	por
dc.title	Multidimensional extremal dependence coefficients	por
dc.type	article	por
dc.peerreviewed	yes	por
dc.relation.publisherversion	www.elsevier.com/locate/stapro	por
oaire.citationStartPage	1	por
oaire.citationEndPage	8	por
oaire.citationVolume	133	por
dc.identifier.doi	10.1016/j.spl.2017.09.018	por
dc.subject.fos	Ciências Naturais::Matemáticas	por
dc.description.publicationversion	info:eu-repo/semantics/publishedVersion	por
dc.subject.wos	Science & Technology	por
sdum.journal	Statistics and Probability Letters	por
Aparece nas coleções:	CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

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