On the residual dependence index of elliptical distributions

Details

Serval ID
serval:BIB_46F9220AF8BE
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
On the residual dependence index of elliptical distributions
Journal
Statistics & Probability Letters
Author(s)
Hashorva E.
ISSN
0167-7152
Publication state
Published
Issued date
2010
Peer-reviewed
Oui
Volume
80
Number
13-14
Pages
1070-1078
Language
english
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
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Create date
03/09/2010 10:59
Last modification date
20/08/2019 14:52
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