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
2009-01-01
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 literatureFile in questo prodotto:
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