Extremes

, Volume 3, Issue 3, pp 279–290

A Directory of Coefficients of Tail Dependence

Authors

  • Janet E. Heffernan
    • Department of Mathematics and StatisticsLancaster University
Article

DOI: 10.1023/A:1011459127975

Cite this article as:
Heffernan, J.E. Extremes (2000) 3: 279. doi:10.1023/A:1011459127975

Abstract

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.

coefficient of tail dependenceasymptotic independencebivariate extreme value theory

Copyright information

© Kluwer Academic Publishers 2000