{
  "id": "1006.1602",
  "version": "v1",
  "published": "2010-06-08T16:31:52.000Z",
  "updated": "2010-06-08T16:31:52.000Z",
  "title": "Dependence of multivariate extremes",
  "authors": [
    "Clara Viseu",
    "Luísa Pereira",
    "Ana Paula Martins",
    "Helena Ferreira"
  ],
  "comment": "10 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2010-06-08T16:31:52.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "dependence",
      "multivariate extreme value distribution",
      "multidimensional stationary sequence",
      "multivariate extremal indexes",
      "sufficient conditions"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 10,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1006.1602V"
    }
  }
}