Dependence of Multivariate Extremes

Conference paper
Part of the Studies in Theoretical and Applied Statistics book series (STAS)


We give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value (MEV) 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 indices of the sequences and secondly a coefficient that measures 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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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • C. Viseu
    • 1
  • L. Pereira
    • 2
  • A. P. Martins
    • 2
  • H. Ferreira
    • 2
  1. 1.Polytechnic Institute of CoimbraCoimbraPortugal
  2. 2.University of Beira InteriorCovilhãPortugal

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