On the residual dependence index of elliptical distributions

Enkelejd Hashorva

Statistics & Probability Letters, 2010, vol. 80, issue 13-14, 1070-1078

Abstract: The residual dependence index of bivariate Gaussian distributions is determined by the correlation coefficient. This tail index is of certain statistical importance when extremes and related rare events of bivariate samples with asymptotic independent components are being modeled. In this paper we calculate the partial residual dependence indices of a multivariate elliptical random vector assuming that the associated random radius has distribution function in the Gumbel max-domain of attraction. Furthermore, we discuss the estimation of these indices when the associated random radius possesses a Weibull-tail distribution.

Keywords: Partial; residual; dependence; index; Gumbel; max-domain; of; attraction; Weibull-tail; distribution; Elliptical; distribution; Quadratic; programming; problem (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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