The aim of this paper is to give a measure of the tail dependence for ndimensional Archimedean copula functions. We propose the upper and lower tail dependence coefficients, in a multivariate framework, extending their bivariate definition given in literature

Multivariate tail dependence coefficients

DE LUCA, GIOVANNI;RIVIECCIO, GIORGIA
2009

Abstract

The aim of this paper is to give a measure of the tail dependence for ndimensional Archimedean copula functions. We propose the upper and lower tail dependence coefficients, in a multivariate framework, extending their bivariate definition given in literature
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/18878
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