Max-min dependence coefficients for Multivariate Extreme Value Distributions
arXiv:1205.3954
Abstract
We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its behaviour with respect to the multivariate concordance ordering is analysed. The definition of the min-max dependence coefficient is extended in order to evaluate the dependence among several multivariate extreme value distributions. The results are illustrated with some usual distributions.