Behaviour of multivariate tail dependence coefficients

DOI10.12697/ACUTM.2018.22.25MaRDI QIDQ5224270zbMATH OpenFDO

Authors Gaida Pettere, Irina Voronova, Ilze Zariņa

Publication date 23 July 2019

Published in Acta et Commentationes Universitatis Tartuensis de Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12697/ACUTM.2018.22.25

zbMATH Keywords

\(t\)-copula\(t\)-distributionbivariate tail dependencecopulamultivariate tail dependence

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• An introduction to copulas. Properties and applications
• Bernoulli and tail-dependence compatibility
• Copula convergence theorems for tail events.
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• General multivariate dependence using associated copulas
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• On the extremal dependence coefficient of multivariate distributions
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• Tail dependence for multivariate copulas and its monotonicity
• Tail dependence functions and vine copulas
• Tail dependence of skew t-copulas
• Tail order and intermediate tail dependence of multivariate copulas
• Tails of multivariate Archimedean copulas
• The t Copula and Related Copulas

Cited in

(8)

• Independence results for multivariate tail dependence coefficients
• t-copula from the viewpoint of tail dependence matrices
• Monotonicity of the tail dependence for multivariate \(t\)-copula
• The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
• General multivariate dependence using associated copulas
• Multidimensional extremal dependence coefficients
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Tail dependence for multivariate copulas and its monotonicity

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