Tail-weighted measures of dependence

DOI10.1080/02664763.2014.980787OpenAlexW2033975606MaRDI QIDQ5130181

Joe, Harry, Pavel Krupskii

Publication date: 4 November 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2014.980787

zbMATH Keywords

copulafactor modeltail dependencedependence measuretail asymmetryintermediate tail dependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (12)

Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models ⋮ Copula diagnostics for asymmetries and conditional dependence ⋮ Variational inference for high dimensional structured factor copulas ⋮ A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ Copula-based measures of reflection and permutation asymmetry and statistical tests ⋮ Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution ⋮ Nonparametric predictive inference for stock returns ⋮ Tail-weighted dependence measures with limit being the tail dependence coefficient ⋮ A copula model for non-Gaussian multivariate spatial data ⋮ New measure of the bivariate asymmetry ⋮ Factor Copula Models for Replicated Spatial Data ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities

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