On extremal dependence: some contributions
The usual coefficients of tail dependence are based on exceedances of high values. These extremal events are useful and widely used in literature but an adverse situation may also occur with the upcrossing of a high level. In this context we define upcrossings-tail dependence coefficients and analyze all types of dependence coming out. We will prove that these coefficients are related to multivariate tail dependence coefficients already known in literature. We shall see that the upcrossings-tail dependence coefficients have the interesting feature of congregating both “temporal” and “spatial” dependence. The coefficients of tail dependence can also be applied to stationary sequences and hence measure the tail dependence in time. Results concerning connections with the extremal index and the upcrossings index as well as with local dependence conditions will be stated. Several illustrative examples will be exploited and a small note on inference will be given by presenting estimators derived from the stated results and respective properties. Copyright Sociedad de Estadística e Investigación Operativa 2012
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2012)
Issue (Month): 3 (September)
|Contact details of provider:|| Web page: http://www.springer.com|
Web page: http://www.seio.es/
|Order Information:||Web: http://www.springer.com/statistics/journal/11749/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non-parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 307-335.
- Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:21:y:2012:i:3:p:566-583. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.