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A directory of coefficients of tail dependence.

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A directory of coefficients of tail dependence. / Heffernan, Janet E.
In: Extremes, Vol. 3, No. 3, 09.2000, p. 279-290.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Heffernan, JE 2000, 'A directory of coefficients of tail dependence.', Extremes, vol. 3, no. 3, pp. 279-290. https://doi.org/10.1023/A:1011459127975

APA

Heffernan, J. E. (2000). A directory of coefficients of tail dependence. Extremes, 3(3), 279-290. https://doi.org/10.1023/A:1011459127975

Vancouver

Heffernan JE. A directory of coefficients of tail dependence. Extremes. 2000 Sept;3(3):279-290. doi: 10.1023/A:1011459127975

Author

Heffernan, Janet E. / A directory of coefficients of tail dependence. In: Extremes. 2000 ; Vol. 3, No. 3. pp. 279-290.

Bibtex

@article{95c3caaba7cc4aee8b2b5d7dabffe827,
title = "A directory of coefficients of tail dependence.",
abstract = "Models characterizing the asymptotic dependence structures of bivariate distributions have been introduced by Ledford and Tawn (1996), among others, and diagnostics for such dependence behavior are presented in Coles et al. (1999). The following pages are intended as a supplement to the papers of Ledford and Tawn and Coles et al. In particular we focus on the coefficient of tail dependence, which we evaluate for a wide range of bivariate distributions. We find that for many commonly employed bivariate distributions there is little flexibility in the range of limiting dependence structure accommodated. Many distributions studied have coefficients of tail dependence corresponding to near independence or a strong form of dependence known as asymptotic dependence.",
keywords = "coefficient of tail dependence - asymptotic independence - bivariate extreme value theory",
author = "Heffernan, {Janet E.}",
year = "2000",
month = sep,
doi = "10.1023/A:1011459127975",
language = "English",
volume = "3",
pages = "279--290",
journal = "Extremes",
issn = "1386-1999",
publisher = "Springer Netherlands",
number = "3",

}

RIS

TY - JOUR

T1 - A directory of coefficients of tail dependence.

AU - Heffernan, Janet E.

PY - 2000/9

Y1 - 2000/9

N2 - Models characterizing the asymptotic dependence structures of bivariate distributions have been introduced by Ledford and Tawn (1996), among others, and diagnostics for such dependence behavior are presented in Coles et al. (1999). The following pages are intended as a supplement to the papers of Ledford and Tawn and Coles et al. In particular we focus on the coefficient of tail dependence, which we evaluate for a wide range of bivariate distributions. We find that for many commonly employed bivariate distributions there is little flexibility in the range of limiting dependence structure accommodated. Many distributions studied have coefficients of tail dependence corresponding to near independence or a strong form of dependence known as asymptotic dependence.

AB - Models characterizing the asymptotic dependence structures of bivariate distributions have been introduced by Ledford and Tawn (1996), among others, and diagnostics for such dependence behavior are presented in Coles et al. (1999). The following pages are intended as a supplement to the papers of Ledford and Tawn and Coles et al. In particular we focus on the coefficient of tail dependence, which we evaluate for a wide range of bivariate distributions. We find that for many commonly employed bivariate distributions there is little flexibility in the range of limiting dependence structure accommodated. Many distributions studied have coefficients of tail dependence corresponding to near independence or a strong form of dependence known as asymptotic dependence.

KW - coefficient of tail dependence - asymptotic independence - bivariate extreme value theory

U2 - 10.1023/A:1011459127975

DO - 10.1023/A:1011459127975

M3 - Journal article

VL - 3

SP - 279

EP - 290

JO - Extremes

JF - Extremes

SN - 1386-1999

IS - 3

ER -