Geometric interpretation of the residual dependence coefficient

Subscribe to email list

Please select the email list(s) to which you wish to subscribe.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Image CAPTCHA

Enter the characters shown in the image.

User menu

You are here

  1. Department of Statistics
  2. Geometric interpretation of the residual dependence coefficient

Geometric interpretation of the residual dependence coefficient

TitleGeometric interpretation of the residual dependence coefficient
Publication TypeJournal Article
Year of Publication2014
AuthorsNolde, N
JournalJOURNAL OF MULTIVARIATE ANALYSIS
Volume123
Pagination85-95
Date PublishedJAN
Type of ArticleArticle
ISSN0047-259X
KeywordsAsymptotic independence, Geometric approach, Limit set, Multivariate density, Residual dependence coefficient, Sample clouds
AbstractThe residual dependence coefficient was originally introduced by Ledford and Tawn (1996) [25] as a measure of residual dependence between extreme values in the presence of asymptotic independence. We present a geometric interpretation of this coefficient with the additional assumptions that the random samples from a given distribution can be scaled to converge onto a limit set and that the marginal distributions have Weibull-type tails. This result leads to simple and intuitive computations of the residual dependence coefficient for a variety of distributions. (C) 2013 Elsevier Inc. All rights reserved.
DOI10.1016/j.jmva.2013.08.018