CONCOMITANT TAIL BEHAVIOR FOR EXTREMES

The influence of bivariate extremal dependence on the limiting behavio ur of the concomitant of the largest order statistic is examined. Our approach is to fix the marginal distributions and derive a general tai l characterisation of the joint survivor function. From this, we ident ify the normalisation required to obtain the limiting distribution of the concomitant of the largest order statistic, obtain its tail form, and investigate the limiting probability that the vector of componentw ise maxima occurs as an observation of the bivariate process. The resu lts are illustrated for a range of extremal dependence forms.