Geometric interpretation of the residual dependence coefficient

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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