Measures of multivariate asymptotic dependence and their relation to spectral expansions

DOI10.1007/S00184-011-0354-8zbMath1410.62072OpenAlexW2063417018MaRDI QIDQ715491

Melanie Frick

Publication date: 29 October 2012

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-011-0354-8

zbMATH Keywords

spectral expansionPickands dependence functionasymptotic dependence structureresidual dependence indextail dependence parameter

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 (1)

Geometric interpretation of the residual dependence coefficient

Cites Work

• Unnamed Item
• Unnamed Item
• Bivariate extreme statistics. I
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Testing the tail-dependence based on the radial component
• Expansions of multivariate Pickands densities and testing the tail dependence
• Tail dependence for elliptically contoured distributions
• Dependence measures for extreme value analyses

This page was built for publication: Measures of multivariate asymptotic dependence and their relation to spectral expansions