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

DOI10.1016/J.JMVA.2006.05.005zbMATH Open1116.62061OpenAlexW2073503498MaRDI QIDQ997002FDOQ997002

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

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• Independence results for multivariate tail dependence coefficients
• A multivariate version of kendall's τ
• A note on nonparametric estimation of copula-based multivariate extensions of Spearman's rho

zbMATH Keywords

copulameasure of dependenceempirical copulatail dependenceweak convergenceSpearman's rho

Mathematics Subject Classification ID

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

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Cited In (41)

• Measuring cumulative deprivation and affluence based on the diagonal dependence diagram
• Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ
• On the limit of conditional Spearman's rho under the common factor model
• Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
• Measures of multivariate asymptotic dependence and their relation to spectral expansions
• A weighted independence test based on smooth estimation of Kendall distribution
• On the weighted tests of independence based on Bernstein empirical copula
• Jump tail dependence in Lévy copula models
• Tail dependence between order statistics
• Orthant tail dependence of multivariate extreme value distributions
• A measure of multivariate mutual complete dependence
• Dependence between two multivariate extremes
• Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
• The bivariate normal copula function is regularly varying
• Clustering of financial time series in risky scenarios
• Consistent Estimation of Multiple Breakpoints in Dependence Measures
• Choice of smoothing parameter in multivariate copula-based tail coefficients
• Estimation of multivariate dependence structures via constrained maximum likelihood
• Expansions for bivariate copulas
• Multivariate tail dependence and local stochastic dominance
• A directory of families of infinitely extendible Archimedean copulas
• Measuring large comovements in financial markets
• Tail dependence of the Gaussian copula revisited
• Tail-weighted measures of dependence
• Tail-weighted dependence measures with limit being the tail dependence coefficient
• A compound renewal model for medical malpractice insurance
• Copulas, diagonals, and tail dependence
• Generalized logistic models and its orthant tail dependence
• Statistical dependence: beyond Pearson's \(\rho\)
• Testing for equality between conditional copulas given discretized conditioning events
• Conditional empirical copula processes and generalized measures of association
• Measuring non-exchangeable tail dependence using tail copulas
• Tail dependence functions and vine copulas
• Partial and average copulas and association measures
• Multiple risk factor dependence structures: copulas and related properties
• On testing equality of pairwise rank correlations in a multivariate random vector
• Title not available (Why is that?)
• A multivariate version of Hoeffding's phi-square
• A multivariate version of kendall's τ
• Multivariate extensions of Spearman's rho and related statistics
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence

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