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arxiv: 1406.5973 · v1 · pith:POBMLZXDnew · submitted 2014-06-23 · 🧮 math.ST · stat.TH

Dependence of maxima in space

classification 🧮 math.ST stat.TH
keywords dependencevaluesdistributionsmaximaaccountagreescasecoefficient
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We propose a coefficient that measures the dependence among large values for spatial processes of maxima. Its main properties are: a) $k$ locations can be taken into account; b) it takes values in $[0,1]$ and higher values indicate stronger dependence; c) it is independent of the univariate marginal distributions of the random field; d) it can be related with the tail dependence and the extremal coefficients; e) it agrees with the concordance property for multivariate distributions; f) it has as a particular case the variogram from geostatistics; g) it can be easily estimated.

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