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Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders

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Stochastic Orders in Reliability and Risk

Part of the book series: Lecture Notes in Statistics ((LNSP,volume 208))

Abstract

A stochastic tail order is introduced to compare right tails of distributions and related closure properties are established. The stochastic tail order is then used to compare the dependence structure of multivariate extreme value distributions in terms of upper tail behaviors of their underlying samples.

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Acknowledgements

The author would like to thank Alfred Müller for his comments on this paper during IWAP 2012 in Jerusalem, Israel, and especially for his comment on several references that are closely related to this work. Haijun Li is supported by NSF grants CMMI 0825960 and DMS 1007556.

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Authors and Affiliations

  1. Department of Mathematics, Washington State University, Pullman, WA, 99164, USA

    Haijun Li

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  1. Haijun Li
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Correspondence to Haijun Li .

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Editors and Affiliations

  1. Dept. Mathematics, Washington State University, Lighty 370, Pullman, 99164, Washington, USA

    Haijun Li

  2. Xiamen University, Xiamen, 361000, China, People's Republic

    Xiaohu Li

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Li, H. (2013). Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders. In: Li, H., Li, X. (eds) Stochastic Orders in Reliability and Risk. Lecture Notes in Statistics(), vol 208. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-6892-9_19

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