Geometric interpretation of the residual dependence coefficient

DOI10.1016/j.jmva.2013.08.018zbMath1360.60100OpenAlexW1986305797MaRDI QIDQ391914

Natalia Nolde

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.08.018

zbMATH Keywords

geometric approachlimit setasymptotic independencemultivariate densityresidual dependence coefficientsample clouds

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (11)

Modeling spatial extremes using normal mean-variance mixtures ⋮ Linking representations for multivariate extremes via a limit set ⋮ A unified approach to constructing correlation coefficients between random variables ⋮ Efficient simulation for dependent rare events with applications to extremes ⋮ The effect of aggregation on extremes from asymptotically independent light-tailed risks ⋮ Geometric disintegration and star-shaped distributions ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Extremal dependence of random scale constructions ⋮ A geometric investigation into the tail dependence of vine copulas ⋮ Exceedance-based nonlinear regression of tail dependence ⋮ Samples with a limit shape, multivariate extremes, and risk

Uses Software

• QRM

Cites Work

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