On the residual dependence index of elliptical distributions

DOI10.1016/j.spl.2010.03.001zbMath1190.62107arXiv0811.3552OpenAlexW2085020953MaRDI QIDQ979196

Enkelejd Hashorva

Publication date: 25 June 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.3552

zbMATH Keywords

quadratic programming problemelliptical distributionGumbel max-domain of attractionpartial residual dependence indexWeibull-tail distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (16)

Asymmetric tail dependence modeling, with application to cryptocurrency market data ⋮ Tail asymptotic of Weibull-type risks ⋮ Geometric interpretation of the residual dependence coefficient ⋮ Modeling of censored bivariate extremal events ⋮ Tail asymptotics for the bivariate skew normal ⋮ Exact tail asymptotics in bivariate scale mixture models ⋮ Efficient simulation for dependent rare events with applications to extremes ⋮ The effect of aggregation on extremes from asymptotically independent light-tailed risks ⋮ On conditional extreme values of random vectors with polar representation ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case ⋮ Relations Between Hidden Regular Variation and the Tail Order of Copulas ⋮ Extremal dependence of random scale constructions ⋮ Tails of weakly dependent random vectors ⋮ Asymptotics for Kotz type III elliptical distributions ⋮ Samples with a limit shape, multivariate extremes, and risk

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