Concomitant tail behaviour for extremes

Ledford, Anthony W. and Tawn, Jonathan A. (1998) Concomitant tail behaviour for extremes. Advances in Applied Probability, 30 (1). pp. 197-215. ISSN 0001-8678

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Abstract

The influence of bivariate extremal dependence on the limiting behaviour of the concomitant of the largest order statistic is examined. Our approach is to fix the marginal distributions and derive a general tail characterisation of the joint survivor function. From this, we identify the normalisation required to obtain the limiting distribution of the concomitant of the largest order statistic, obtain its tail form, and investigate the limiting probability that the vector of componentwise maxima occurs as an observation of the bivariate process. The results are illustrated for a range of extremal dependence forms.

Item Type:
Journal Article
Journal or Publication Title:
Advances in Applied Probability
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2604
Subjects:
ID Code:
177767
Deposited By:
Deposited On:
18 Oct 2022 10:30
Refereed?:
Yes
Published?:
Published
Last Modified:
22 Nov 2022 11:58