Multivariate conditional versions of Spearman's rho and related measures of tail dependence (Q997002)
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scientific article; zbMATH DE number 5173111
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| English | Multivariate conditional versions of Spearman's rho and related measures of tail dependence |
scientific article; zbMATH DE number 5173111 |
Statements
Multivariate conditional versions of Spearman's rho and related measures of tail dependence (English)
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19 July 2007
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measure of dependence
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copula
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Spearman's rho
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tail dependence
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empirical copula
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weak convergence
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0.9074272
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0.8937163
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0.88264644
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0.8819129
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0.8809029
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0.8792889
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0.8791646
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