Independence results for multivariate tail dependence coefficients

In this paper we study some properties of multivariate lower and upper tail dependence coefficients, and analyze the relationship between pairwise tail independence, mutual tail independence, and extremal independence.

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Bibliographic Details
Published in:Fuzzy sets and systems 2016-02, Vol.284, p.129-137
Main Authors: Fernández-Sánchez, Juan, Nelsen, Roger B., Quesada-Molina, José Juan, Úbeda-Flores, Manuel
Format: Article
Language:English
Subjects:
Archimedean copula
Copula
Extremal dependence
Tail dependence
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Description
Summary:In this paper we study some properties of multivariate lower and upper tail dependence coefficients, and analyze the relationship between pairwise tail independence, mutual tail independence, and extremal independence.
ISSN:0165-0114
1872-6801
DOI:10.1016/j.fss.2015.04.013