Multivariate conditional versions of Spearman's rho and related measures of tail dependence

DOI10.1016/j.jmva.2006.05.005zbMath1116.62061OpenAlexW2073503498MaRDI QIDQ997002

Friedrich Schmid, Rafael Schmidt

Publication date: 19 July 2007

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.05.005

zbMATH Keywords

copulaweak convergencetail dependenceempirical copulaSpearman's rhomeasure of dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (37)

Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ Choice of smoothing parameter in multivariate copula-based tail coefficients ⋮ Tail dependence of the Gaussian copula revisited ⋮ Estimation of multivariate dependence structures via constrained maximum likelihood ⋮ Multiple risk factor dependence structures: copulas and related properties ⋮ Multivariate extensions of Spearman's rho and related statistics ⋮ A multivariate version of Hoeffding's phi-square ⋮ On testing equality of pairwise rank correlations in a multivariate random vector ⋮ A directory of families of infinitely extendible Archimedean copulas ⋮ Jump tail dependence in Lévy copula models ⋮ Clustering of financial time series in risky scenarios ⋮ Partial and average copulas and association measures ⋮ A weighted independence test based on smooth estimation of Kendall distribution ⋮ On the weighted tests of independence based on Bernstein empirical copula ⋮ Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\) ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ Multivariate tail dependence and local stochastic dominance ⋮ Dependence between two multivariate extremes ⋮ Measuring cumulative deprivation and affluence based on the diagonal dependence diagram ⋮ The bivariate normal copula function is regularly varying ⋮ Tail-weighted measures of dependence ⋮ A compound renewal model for medical malpractice insurance ⋮ Tail-weighted dependence measures with limit being the tail dependence coefficient ⋮ Orthant tail dependence of multivariate extreme value distributions ⋮ Copulas, diagonals, and tail dependence ⋮ Generalized Logistic Models and its orthant tail dependence ⋮ Measures of multivariate asymptotic dependence and their relation to spectral expansions ⋮ Testing for equality between conditional copulas given discretized conditioning events ⋮ Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence ⋮ Tail dependence between order statistics ⋮ Tail dependence functions and vine copulas ⋮ Conditional empirical copula processes and generalized measures of association ⋮ Expansions for bivariate copulas ⋮ Unnamed Item ⋮ Measuring large comovements in financial markets ⋮ A measure of multivariate mutual complete dependence ⋮ On the limit of conditional Spearman's rho under the common factor model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bivariate extreme statistics. I
• The oscillation behavior of empirical processes: The multivariate case
• On nonparametric measures of dependence for random variables
• Asymptotic distributions of multivariate rank order statistics
• Asymptotic normality of multivariate linear rank statistics in the non- i.i.d. case
• An introduction to copulas. Properties and applications
• Tail dependence for elliptically contoured distributions
• Weak convergence of empirical copula processes
• Multivariate concordance
• Weak convergence and empirical processes. With applications to statistics
• Tests of independence and randomness based on the empirical copula process
• Estimating the tail-dependence coefficient: properties and pitfalls
• Non-parametric Estimation of Tail Dependence
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Extreme behaviour for bivariate elliptical distributions
• Semiparametric estimation in copula models
• Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

This page was built for publication: Multivariate conditional versions of Spearman's rho and related measures of tail dependence