Geometric interpretation of the residual dependence coefficient

Natalia Nolde

Journal of Multivariate Analysis, 2014, vol. 123, issue C, 85-95

Abstract: The residual dependence coefficient was originally introduced by Ledford and Tawn (1996) [25] as a measure of residual dependence between extreme values in the presence of asymptotic independence. We present a geometric interpretation of this coefficient with the additional assumptions that the random samples from a given distribution can be scaled to converge onto a limit set and that the marginal distributions have Weibull-type tails. This result leads to simple and intuitive computations of the residual dependence coefficient for a variety of distributions.

Keywords: Asymptotic independence; Residual dependence coefficient; Sample clouds; Limit set; Multivariate density; Geometric approach (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.jmva.2013.08.018

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