𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Testing for Bivariate Extreme Dependence Using Kendall's Process

✍ Scribed by JEAN-FRANÇOIS QUESSY

Book ID
115222235
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
796 KB
Volume
39
Category
Article
ISSN
0303-6898

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Studies on Tests Using Fisher's Tanh−1 T
Studies on Tests Using Fisher's Tanh−1 Transformation for Spearman's “Rho” and Kendall's “Tau” in Small Samples
✍ Prof. B. M. Bennett; M. K. Choe 📂 Article 📅 1984 🏛 John Wiley and Sons 🌐 English ⚖ 425 KB

A series of papers by FIELLER, PEARSON el al. (1957, 1961, 1962) were concerned with the use of FISHER'S tanh-1 transformation ( = z ) for SPEARMAN'S 'rho' and KENDALL'S 'tau' rank correlation coefficients. Under the assumption of bivariate normal samples, empirical results on the means and variance

Examples for the coefficient of tail dep
Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
✍ Martin Schlather 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 102 KB

The tail behaviour of many bivariate distributions with unit Frà echet margins can be characterised by the coe cient of tail dependence and a slowly varying function. We show that such a characterisation is not always possible, and neither implies nor is implied by the fact that the distribution bel