Multivariate directional tail-weighted dependence measures

DOI10.1016/J.JMVA.2024.105319MaRDI QIDQ6596170zbMATH OpenFDO

Authors Xiaoting Li, Harry Joe

Publication date 2 September 2024

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

zbMATH Keywords

copulasextremestail asymmetrytail dependence functiontail expansion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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• Tail dependence functions and vine copulas
• Tail order and intermediate tail dependence of multivariate copulas
• Tail-weighted dependence measures with limit being the tail dependence coefficient
• Tail-weighted measures of dependence
• The multivariate skew-normal distribution
• Weak convergence of empirical copula processes

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