Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/16225

TitleTail dependence between order statistics
Author(s)Ferreira, Helena
Ferreira, Marta Susana
KeywordsTail dependence
Order statistics
Measures of tail dependence
Multivariate extreme value distribution
Issue date2012
PublisherElsevier
JournalJournal of Multivariate Analysis
Abstract(s)In this work, we introduce the s, k-extremal coefficients for studying the tail dependence between the s-th lower and k-th upper order statistics of a normalized random vector. If its margins have tail dependence then so do their order statistics, with the strength of bivariate tail dependence decreasing as two order statistics become farther apart. Some general properties are derived for these dependence measures which can be expressed via copulas of random vectors. Its relations with other extremal dependence measures used in the literature are discussed, such as multivariate tail dependence coefficients, the coefficient of tail dependence, coefficients based on tail dependence functions, the extremal coefficient ., the multivariate extremal index and an extremal coefficient for min-stable distributions. Several examples are presented to illustrate the results, including multivariate exponential and multivariate Gumbel distributions widely used in applications.
TypeArticle
URIhttp://hdl.handle.net/1822/16225
DOI10.1016/j.jmva.2011.09.001
ISSN0047-259X
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals
DMA - Artigos (Papers)

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