Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145652 | Journal of Multivariate Analysis | 2014 | 11 Pages |
Abstract
The residual dependence coefficient was originally introduced by Ledford and Tawn (1996) [25] as a measure of residual dependence between extreme values in the presence of asymptotic independence. We present a geometric interpretation of this coefficient with the additional assumptions that the random samples from a given distribution can be scaled to converge onto a limit set and that the marginal distributions have Weibull-type tails. This result leads to simple and intuitive computations of the residual dependence coefficient for a variety of distributions.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Natalia Nolde,