On the extremal dependence coefficient of multivariate distributions

DOI10.1016/j.spl.2006.03.006zbMath1120.62035OpenAlexW2131033256MaRDI QIDQ2497808

Gabriel Frahm

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.03.006

zbMATH Keywords

copulatail indexelliptical distributionextremal dependencetail dependence coefficientasymptotic dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (23)

Choice of smoothing parameter in multivariate copula-based tail coefficients ⋮ On a generalization of Archimedean copula family ⋮ A generalization of Archimedean and Marshall-Olkin copulas family ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ Independence results for multivariate tail dependence coefficients ⋮ On tail dependence: a characterization for first-order max-autoregressive processes ⋮ A functional for copulas and quasi-copulas ⋮ Tail dependence for regularly varying time series ⋮ On a family of multivariate copulas for aggregation processes ⋮ Tail dependence of skewed grouped \(t\)-distributions ⋮ Indirect estimation of elliptical stable distributions ⋮ Aspects of Dependence in Cuadras–Auge Family ⋮ Tail dependence for multivariate copulas and its monotonicity ⋮ Reparameterizing Marshall–Olkin copulas with applications to sampling ⋮ Tail Dependence Under Sample Failures ⋮ Dependence structure of extreme order statistics ⋮ Lévy-frailty copulas ⋮ Behaviour of multivariate tail dependence coefficients ⋮ Tail dependence between order statistics ⋮ Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions ⋮ Tail dependence functions and vine copulas ⋮ Unnamed Item ⋮ Copulas Based on Marshall–Olkin Machinery

Cites Work

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• On the theory of elliptically contoured distributions
• An introduction to copulas. Properties and applications
• Dependence and order in families of Archimedean copulas
• Tail dependence for elliptically contoured distributions
• Elliptical copulas: Applicability and limitations.
• A characterization of multivariate regular variation.
• The t Copula and Related Copulas
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Statistical Modeling and Analysis for Complex Data Problems

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