文章基本信息

标题：Madogram and asymptotic independence among maxima
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作者：Armelle Guillou ; Philippe Naveau ; Antoine Schorgen. 等
期刊名称：RevStat : Statistical Journal
印刷版ISSN：1645-6726
出版年度：2014
卷号：12
期号：2
页码：119-134
出版社：Instituto Nacional de Estatística
摘要：A strong statistical research e.ort has been devoted in multivariate extreme value theory in order to assess the strength of dependence among extremes. This topic is particularly di.cult in the case where blo ck maxima are near indep endence. In this paper, we adapt and study a simple inference tool inspired from geostatistics, the madogram, to the context of asymptotic independence between pairwise block maxima. In particular, we introduce an extremal co e.cient and study the theoreti- cal properties of its estimator. Its behaviour is also illustrated on a small simulation study and a real data set.
关键词：. extremal coe.cient; method-of-moment; maximum likelihood.