%0 Journal Article %1 Coles1999 %A Coles, Stuart %A Heffernan, Janet %A Tawn, Jonathan %D 1999 %J Extremes %K evt extremalDependence extreme %N 4 %P 339--365 %R 10.1023/A:1009963131610 %T Dependence Measures for Extreme Value Analyses %U https://doi.org/10.1023/A:1009963131610 %V 2 %X Quantifying dependence is a central theme in probabilistic and statistical methods for multivariate extreme values. Two situations are possible: one where, in a limiting sense, the extremes are dependent; the other where, in the same sense, the extremes are independent. This paper comprises an overview of the principal issues through a unified approach which encompasses both these situations. Novel diagnostic measures for dependence are also developed which provide complementary information about different aspects of extremal dependence. The paper is written in an elementary style, with the methodology illustrated by application to theoretical examples and typical data-sets. These data-sets and the S-plus functions used for the analyses are available online.

@article{Coles1999, abstract = {Quantifying dependence is a central theme in probabilistic and statistical methods for multivariate extreme values. Two situations are possible: one where, in a limiting sense, the extremes are dependent; the other where, in the same sense, the extremes are independent. This paper comprises an overview of the principal issues through a unified approach which encompasses both these situations. Novel diagnostic measures for dependence are also developed which provide complementary information about different aspects of extremal dependence. The paper is written in an elementary style, with the methodology illustrated by application to theoretical examples and typical data-sets. These data-sets and the S-plus functions used for the analyses are available online.}, added-at = {2023-03-02T16:13:51.000+0100}, author = {Coles, Stuart and Heffernan, Janet and Tawn, Jonathan}, biburl = {https://www.bibsonomy.org/bibtex/244c40d5a3d3aae0b7e2ef6393a447f8f/simon.brown}, day = 01, description = {Dependence Measures for Extreme Value Analyses | SpringerLink}, doi = {10.1023/A:1009963131610}, interhash = {22dd5cca9abaee4a1826b98d53a3472b}, intrahash = {44c40d5a3d3aae0b7e2ef6393a447f8f}, issn = {1572-915X}, journal = {Extremes}, keywords = {evt extremalDependence extreme}, month = dec, number = 4, pages = {339--365}, timestamp = {2023-03-02T16:13:51.000+0100}, title = {Dependence Measures for Extreme Value Analyses}, url = {https://doi.org/10.1023/A:1009963131610}, volume = 2, year = 1999 }