tail-dependence coefficient¶
The. (2008). tail-dependence coefficient.
Retired. This is not a bibliographic entry. Our extractor captured an inline prose definition from an article and stored it as a work. The concept is real; this registry record is a parsing defect. This entry is kept so the citations that pointed at it still resolve, and so the correction is visible rather than silent.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Copula Tail-Dependence Check
- Its central weakness is that the tail is where data is thinnest: the estimate can rest on a handful of joint extremes or none at all, so the copula family choice fills the vacuum, and a Gaussian copula in particular will quietly certify a tail independence that is not there.
This sourceThe t-copula and Gumbel copula, by contrast, admit positive tail dependence, which is why family choice is the dominant dial above.
- Its central weakness is that the tail is where data is thinnest: the estimate can rest on a handful of joint extremes or none at all, so the copula family choice fills the vacuum, and a Gaussian copula in particular will quietly certify a tail independence that is not there.
Verification¶
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Registry ID ref:7f6230a767e4 · see in the full table