Independence results for multivariate tail dependence coefficients

DOI10.1016/J.FSS.2015.04.013MaRDI QIDQ1699339zbMATH OpenOpenAlexFDO

Authors Juan Fernández-Sánchez, Roger B. Nelsen, José Juan Quesada-Molina, Manuel Úbeda-Flores

Publication date 19 February 2018

Published in Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.fss.2015.04.013

zbMATH Keywords

copulaextremal dependencetail dependenceArchimedean copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis and fuzziness (62H86)

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• On the extremal dependence coefficient of multivariate distributions
• Orthant tail dependence of multivariate extreme value distributions
• Tail order and intermediate tail dependence of multivariate copulas
• Tails of multivariate Archimedean copulas

Cited in

(6)

• Asymptotic independence and perfect dependence of vector components of multivariate extreme statistics
• Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
• A generalization of Archimedean and Marshall-Olkin copulas family
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• On a generalization of Archimedean copula family
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence

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