Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence

Friedrich Schmid () and Rafael Schmidt

Metrika: International Journal for Theoretical and Applied Statistics, 2007, vol. 66, issue 3, 323-354

Keywords: Blomqvist’s beta; Copula; Tail dependence; Asymptotic normality; Empirical copula; Asymptotic efficiency; Primary 62H20; Primary 62G20; Secondary 62G30; Secondary 62H10 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (19)

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DOI: 10.1007/s00184-006-0114-3

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