Tail dependence between order statistics
In this work, we introduce the s, k-extremal coefficients for studying the tail dependence between the s-th lower and k-th upper order statistics of a normalized random vector. If its margins have tail dependence then so do their order statistics, with the strength of bivariate tail dependence decre...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2012
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| Texto completo: | http://hdl.handle.net/1822/16225 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/16225 |