Strength of tail dependence based on conditional tail expectation

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Strength of tail dependence based on conditional tail expectation

TitleStrength of tail dependence based on conditional tail expectation
Publication TypeJournal Article
Year of Publication2014
AuthorsHua, L, Joe, H
JournalJournal of Multivariate Analysis
Volume123
Pagination143-159
Date PublishedJAN
Type of ArticleArticle
ISSN0047-259X
KeywordsBoundary conditional distribution, Copula, intermediate tail dependence, Maximum domain of attraction, Stochastic increasing, Tail behavior, Tail order, Tail quadrant independence
AbstractWe use the conditional distribution and conditional expectation of one random variable given the other one being large to capture the strength of dependence in the tails of a bivariate random vector. We study the tail behavior of the boundary conditional cumulative distribution function (cdf) and two forms of conditional tail expectation (CTE) for various bivariate copula families. In general, for nonnegative dependence, there are three levels of strength of dependence in the tails according to the tail behavior of CTEs: asymptotically linear, sub-linear and constant. For each of these three levels, we investigate the tail behavior of CTEs for the marginal distributions belonging to maximum domain of attraction of Frechet and Gumbel, respectively, and for copula families with different tail behavior. (C) 2013 Elsevier Inc. All rights reserved.
DOI10.1016/j.jmva.2013.09.001