Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
A stochastic tail order is introduced to compare right tails of distributions and related closure properties are established. The stochastic tail order is then used to compare the dependence structure of multivariate extreme value distributions in terms of upper tail behaviors of their underlying samples.
KeywordsRandom Vector Tail Dependence Tail Index Univariate Margin Random Variable Versus
The author would like to thank Alfred Müller for his comments on this paper during IWAP 2012 in Jerusalem, Israel, and especially for his comment on several references that are closely related to this work. Haijun Li is supported by NSF grants CMMI 0825960 and DMS 1007556.
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