%0 Journal Article
%T Dependence of multivariate extremes
%A Clara Viseu
%A Lu¨Ēsa Pereira
%A Ana Paula Martins
%A Helena Ferreira
%J Mathematics
%D 2010
%I arXiv
%X We give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value distribution, corresponding to the limit distribution of the maximum of a multidimensional stationary sequence with extremal index, to be independent or totally dependent. Those conditions involve first relations between the multivariate extremal indexes of the sequences and secondly a coefficient that measure the strength of dependence between both sub-vectors. The main results are illustrated with an auto-regressive sequence and a 3-dependent sequence.
%U http://arxiv.org/abs/1006.1602v1