Title of article :
Multivariate conditional versions of Spearmanʹs rho and related measures of tail dependence
Author/Authors :
Schmid، نويسنده , , Friedrich and Schmidt، نويسنده , , Rafael، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2007
Pages :
18
From page :
1123
To page :
1140
Abstract :
A new family of conditional-dependence measures based on Spearmanʹs rho is introduced. The corresponding multidimensional versions are established. Asymptotic distributional results are derived for related estimators which are based on the empirical copula. Particular emphasis is placed on a new type of multidimensional tail-dependence measure and its relationship to other measures of tail dependence is shown. Multivariate tail dependence describes the limiting amount of dependence in the vertices of the copulaʹs domain.
Keywords :
Copula , Measure of dependence , Spearmanיs rho , Tail dependence , weak convergence , Empirical copula
Journal title :
Journal of Multivariate Analysis
Serial Year :
2007
Journal title :
Journal of Multivariate Analysis
Record number :
1558696
Link To Document :
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