Tail-weighted dependence measures with limit being the tail dependence coefficient
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Publication:4643622
DOI10.1080/10485252.2017.1407414zbMath1408.62097OpenAlexW2774171700MaRDI QIDQ4643622
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Publication date: 28 May 2018
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485252.2017.1407414
Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
Related Items (6)
Copula diagnostics for asymmetries and conditional dependence ⋮ Estimation of multivariate tail quantities ⋮ Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients ⋮ New measure of the bivariate asymmetry ⋮ Modeling spatial tail dependence with Cauchy convolution processes ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities
Uses Software
Cites Work
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