Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence
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References listed on IDEAS
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- Joe, Harry & Li, Haijun & Nikoloulopoulos, Aristidis K., 2010. "Tail dependence functions and vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 252-270, January.
- Gaißer, Sandra & Ruppert, Martin & Schmid, Friedrich, 2010. "A multivariate version of Hoeffding's Phi-Square," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2571-2586, November.
- Wermuth, Nanny & Marchetti, Giovanni M. & Zwiernik, Piotr, 2014. "Binary distributions of concentric rings," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 252-260.
- Liebscher Eckhard, 2014. "Copula-based dependence measures," Dependence Modeling, De Gruyter Open, vol. 2(1), pages 1-16, October.
- Hashorva, Enkelejd, 2009. "Asymptotics for Kotz Type III elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 927-935, April.
- Mai, Jan-Frederik & Scherer, Matthias, 2009. "Lévy-frailty copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1567-1585, August.
- Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1837-1845, September.
More about this item
KeywordsBlomqvist’s beta; Copula; Tail dependence; Asymptotic normality; Empirical copula; Asymptotic efficiency; Primary 62H20; Primary 62G20; Secondary 62G30; Secondary 62H10;
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