A directory of coefficients of tail dependence.

Heffernan, Janet E. (2000) A directory of coefficients of tail dependence. Extremes, 3 (3). pp. 279-290. ISSN 1386-1999

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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.

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18 Nov 2008 16:17
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21 Feb 2022 01:34