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math.PR2012
Max-min dependence coefficients for Multivariate Extreme Value Distributions
Helena Ferreira
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…
math.PR2012
Generating multivariate extreme value distributions
Helena Ferreira
We define in a probabilistic way a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and…