Characterizing extremal dependence on a hyperplane
在超平面上刻画极端依赖
Summary In this paper, we characterize the extremal dependence of $ d $ asymptotically dependent variables using a class of random vectors on the $ (d-1) $-dimensional hyperplane perpendicular to the diagonal vector $ \mathbf{1}=(1,\ldots,1) $. This translates analyses of multivariate extremes to analyses on a linear vector space, opening up possibilities for applying existing statistical techniques based on linear operations. As an example, we demonstrate how to obtain…