Behaviour of multivariate tail dependence coefficients

DOI10.12697/ACUTM.2018.22.25zbMath1420.62231MaRDI QIDQ5224270

Ilze Zariņa, Gaida Pettere, Irina Voronova

Publication date: 23 July 2019

Published in: Acta et Commentationes Universitatis Tartuensis de Mathematica (Search for Journal in Brave)

zbMATH Keywords

copula\(t\)-distribution\(t\)-copulamultivariate tail dependencebivariate tail dependence

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Cites Work

• Bernoulli and tail-dependence compatibility
• Tail order and intermediate tail dependence of multivariate copulas
• Tail dependence for multivariate copulas and its monotonicity
• Tails of multivariate Archimedean copulas
• Tail dependence functions and vine copulas
• An introduction to copulas. Properties and applications
• Copula convergence theorems for tail events.
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• On the extremal dependence coefficient of multivariate distributions
• Tail dependence of skew t-copulas
• The t Copula and Related Copulas
• Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Behaviour of multivariate tail dependence coefficients