Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
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Publication:5952100
DOI10.1016/S0167-7152(01)00090-6zbMath0982.62052MaRDI QIDQ5952100
Publication date: 7 April 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
domain of attractioncoefficient of tail dependencebivariate extreme value distributionunit Frechet margins
Related Items (11)
The Extremal Dependence Measure and Asymptotic Independence ⋮ Regularly varying random fields ⋮ Estimating a bivariate tail: a copula based approach ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Conditioning on an extreme component: model consistency with regular variation on cones ⋮ Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition ⋮ Regularly varying measures on metric spaces: hidden regular variation and hidden jumps ⋮ Multivariate extreme value theory -- a tutorial ⋮ Characterizations and examples of hidden regular variation ⋮ Multivariate conditional versions of Spearman's rho and related measures of tail dependence ⋮ Testing asymptotic independence in bivariate extremes
Cites Work
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- Statistics for near independence in multivariate extreme values
- Models for the extremes of Markov chains
- Concomitant tail behaviour for extremes
- Diagnostics for Dependence within Time Series Extremes
- The Multivariate Gaussian Tail Model: An Application to Oceanographic Data
- A comparison of methods for estimating the extremal index
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