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Intermediate Tail Dependence: A Review and Some New Results

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Stochastic Orders in Reliability and Risk

Part of the book series: Lecture Notes in Statistics ((LNSP,volume 208))

Abstract

The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on intermediate tail dependence, and then we report new results to supplement the review. Intermediate tail dependence for elliptical, extreme value, and Archimedean copulas is reviewed and further studied, respectively. For Archimedean copulas, we not only consider the frailty model but also the recently studied scale mixture model; for the latter, conditions leading to upper intermediate tail dependence are presented, and it provides a useful way to simulate copulas with desirable intermediate tail dependence structures.

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Author information

Authors and Affiliations

  1. Division of Statistics, Northern Illinois University, DeKalb, IL, 60115, USA

    Lei Hua

  2. Department of Statistics, University of British Columbia, Vancouver, BC, V6T1Z4, Canada

    Harry Joe

Authors
  1. Lei Hua
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  2. Harry Joe
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Correspondence to Lei Hua .

Editor information

Editors and Affiliations

  1. Dept. Mathematics, Washington State University, Lighty 370, Pullman, 99164, Washington, USA

    Haijun Li

  2. Xiamen University, Xiamen, 361000, China, People's Republic

    Xiaohu Li

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Hua, L., Joe, H. (2013). Intermediate Tail Dependence: A Review and Some New Results. In: Li, H., Li, X. (eds) Stochastic Orders in Reliability and Risk. Lecture Notes in Statistics(), vol 208. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-6892-9_15

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