Multidimensional extremal dependence coefficients

TL;DR

This paper introduces new multivariate extreme value models and dependence coefficients to better understand and evaluate the risk associated with extreme events in multiple dimensions.

Contribution

It presents novel multivariate extreme value models and dependence coefficients, advancing the analysis of extremal dependence in multidimensional data.

Findings

New multivariate extreme value models introduced

Dependence coefficients for extremal dependence assessed

Enhanced tools for risk evaluation in multidimensional extremes

Abstract

Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional phenomena. The analysis of the dependence among multivariate maxima is useful to evaluate risk. Here we present new multivariate extreme value models, as well as, coefficients to assess multivariate extremal dependence.