Abstract
Tail dependence is understood as the dependence between the variables assuming that these variables take the values from the tails of univariate distributions. In the paper two approaches of tail dependence determination are discussed: conditional correlation coefficient and tail dependence coefficients. It can be argued that both approaches are the generalizations of the well-known univariate approach, based on conditional excess distribution. In the paper the proposal is also given to extend tail dependence coefficients to the general multivariate case and to represent these coefficients through copula function.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
EMBRECHTS, P., KLÜPPELBERG, C., and MIKOSCH, T. (1997): Modelling Extremal Events for Insurance and Finance. Springer-Verlag, Berlin.
HEFFERNAN, J.E. (2000): A directory of coefficients of tail dependence. Extremes, 3, 279–290.
JOE, H. (1997): Multivariate Models and Dependence Concepts. Chapman and Hall, London.
MALEVERGNE, Y. and SORNETTE, D. (2002): Investigating extreme dependences: concepts and tools, manuscript, www.gloriamundi.org.
NELSEN, R.B. (1999): An Introduction to Copulas. Springer, New York.
SKLAR, A. (1959): Fonctions de repartition á n dimensions et leurs marges. Publications de l’Institut de Statistique de I’Université de Paris, 8, 229–231.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2005 Springer-Verlag Berlin · Heidelberg
About this paper
Cite this paper
Jajuga, K. (2005). Tail Dependence in Multivariate Data — Review of Some Problems. In: Baier, D., Wernecke, KD. (eds) Innovations in Classification, Data Science, and Information Systems. Studies in Classification, Data Analysis, and Knowledge Organization. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-26981-9_51
Download citation
DOI: https://doi.org/10.1007/3-540-26981-9_51
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-23221-6
Online ISBN: 978-3-540-26981-6
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)