Geometric interpretation of the residual dependence coefficient

DOI10.1016/J.JMVA.2013.08.018MaRDI QIDQ391914zbMATH OpenOpenAlexFDO

Authors Natalia Nolde

Publication date 13 January 2014

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2013.08.018

zbMATH Keywords

asymptotic independencegeometric approachlimit setmultivariate densityresidual dependence coefficientsample clouds

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

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Cited in

(22)

• Efficient simulation for dependent rare events with applications to extremes
• A geometric investigation into the tail dependence of vine copulas
• Modeling spatial extremes using normal mean-variance mixtures
• A unified approach to constructing correlation coefficients between random variables
• Tail dependence functions of the bivariate Hüsler-Reiss model
• Extremal dependence of random scale constructions
• Exceedance-based nonlinear regression of tail dependence
• The effect of aggregation on extremes from asymptotically independent light-tailed risks
• Geometric disintegration and star-shaped distributions
• Samples with a limit shape, multivariate extremes, and risk
• Linking representations for multivariate extremes via a limit set
• Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function
• Tail dependence coefficients of moving average processes driven by exponential-tailed Lévy noise
• X-vine models for multivariate extremes
• Inference for new environmental contours using extreme value analysis
• Statistical inference for multivariate extremes via a geometric approach
• Inference for bivariate extremes via a semi-parametric angular-radial model
• Editorial: EVA (2023) conference data challenge
• Estimating the limiting shape of bivariate scaled sample clouds: with additional benefits of self-consistent inference for existing extremal dependence properties
• Modelling high risk scenarios with gauge functions constructed from Gumbel copulas and D-vine structures
• Semiparametric estimation of the shape of the limiting bivariate point cloud
• Additive functional gauge modelling with multivariate copulas for the assessment of high-risk scenarios

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• QRM

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