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Local dependence functions for extreme value distributions

Author

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  • Saralees Nadarajah
  • Kosto Mitov
  • Samuel Kotz

Abstract

Kotz & Nadarajah (2002) introduced a measure of local dependence which is a localized version of the Pearson's correlation coefficient. In this paper we provide detailed analyses (both algebraic and numerical) of the form of the measure for the class of bivariate extreme value distributions. We consider, in particular, five families of bivariate extreme value distributions. We also discuss two applications of the new measure. In the first application we introduce an overall measure of correlation and produce evidence to suggest that it is superior than the usual Pearson's correlation coefficient. The second application introduces two new concepts for ordering of bivariate dependence.

Suggested Citation

  • Saralees Nadarajah & Kosto Mitov & Samuel Kotz, 2003. "Local dependence functions for extreme value distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1081-1100.
  • Handle: RePEc:taf:japsta:v:30:y:2003:i:10:p:1081-1100
    DOI: 10.1080/0266476032000107123
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    References listed on IDEAS

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    1. Jones, M. C., 1998. "Constant Local Dependence," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 148-155, February.
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    Cited by:

    1. Cees Diks & Florian Wagener, 2006. "A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems," Tinbergen Institute Discussion Papers 06-043/1, Tinbergen Institute.
    2. Cees Diks & Florian Wagener, 2005. "Equivalence and Bifurcations of Finite Order Stochastic Processes," Tinbergen Institute Discussion Papers 05-043/1, Tinbergen Institute.
    3. Karoline Bax & Emanuele Taufer & Sandra Paterlini, 2022. "A generalized precision matrix for t-Student distributions in portfolio optimization," Papers 2203.13740, arXiv.org.
    4. M. Zargar & H. Jabbari & M. Amini, 2017. "Dependence structure and test of independence for some well-known bivariate distributions," Computational Statistics, Springer, vol. 32(4), pages 1423-1451, December.

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