Date Added: Jun 2010
The statistical modeling of extreme values has recently received substantial attention in a broad spectrum of sciences. Given that in a wide variety of scenarios, one is mostly concerned with explaining tail events (say, an economic recession) than central ones, the need to rely on statistical methods well qualified for modeling extremes arises. Unfortunately, several classical tools regularly applied in the analysis of central events, are simply inappropriate for the analysis of extreme values. In particular, Pearson correlation is not a proper measure for assessing the level of agreement of two variables when one is concerned with tail events.