Geometric interpretation of the residual dependence coefficient
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DOI: 10.1016/j.jmva.2013.08.018
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References listed on IDEAS
- Hashorva, Enkelejd, 2010. "On the residual dependence index of elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 80(13-14), pages 1070-1078, July.
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Cited by:
- Lars Nørvang Andersen & Patrick J. Laub & Leonardo Rojas-Nandayapa, 2018. "Efficient Simulation for Dependent Rare Events with Applications to Extremes," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 385-409, March.
- Simpson, Emma S. & Wadsworth, Jennifer L. & Tawn, Jonathan A., 2021. "A geometric investigation into the tail dependence of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
- Majid Asadi & Somayeh Zarezadeh, 2020. "A unified approach to constructing correlation coefficients between random variables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(6), pages 657-676, August.
- de Valk, Cees, 2016. "A large deviations approach to the statistics of extreme events," Other publications TiSEM 117b3ba0-0e40-4277-b25e-d, Tilburg University, School of Economics and Management.
- Hu, Shuang & Peng, Zuoxiang & Nadarajah, Saralees, 2022. "Tail dependence functions of the bivariate Hüsler–Reiss model," Statistics & Probability Letters, Elsevier, vol. 180(C).
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Keywords
Asymptotic independence; Residual dependence coefficient; Sample clouds; Limit set; Multivariate density; Geometric approach;All these keywords.
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