On extremal dependence : some contributions
The usual coefficients of tail dependence are based on exceedances of high values. These extremal events are useful and widely used in literature but an adverse situation may also occur with the upcrossing of a high level. In this context we define upcrossings-tail dependence coefficients and analyz...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | article |
| Language: | eng |
| Published: |
2012
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/1822/16204 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/16204 |