Article: article from journal or magazin.
On the residual dependence index of elliptical distributions
Statistics & Probability Letters
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.
Partial residual dependence index, Gumbel max-domain of attraction, Weibull-tail distribution, Elliptical distribution, Quadratic programming problem
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