|Geometric interpretation of the residual dependence coefficient
|Year of Publication
|JOURNAL OF MULTIVARIATE ANALYSIS
|Type of Article
|Asymptotic independence, Geometric approach, Limit set, Multivariate density, Residual dependence coefficient, Sample clouds
|The residual dependence coefficient was originally introduced by Ledford and Tawn (1996)  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.