2010/06/08 by Clara Viseu, Viseu, Clara, Luísa Pereira +5
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR
paper · pdf · doi:10.48550/arxiv.1006.1602
10 pages
arxiv created 2010/06/08 · arxiv updated 2010/06/09
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.