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Li, Xiaoting; Joe, Harry
Journal of multivariate analysis, September 2024, 2024-09-00, Letnik: 203Journal Article
We propose a new family of directional dependence measures for multivariate distributions. The family of dependence measures is indexed by α≥1. When α=1, they measure the strength of dependence along different paths to the joint upper or lower orthant. For α large, they become tail-weighted dependence measures that put more weight in the joint upper or lower tails of the distribution. As α→∞, we show the convergence of the directional dependence measures to the multivariate tail dependence function and characterize the convergence pattern with an asymptotic expansion. This expansion leads to a method to estimate the multivariate tail dependence function using weighted least square regression. We develop rank-based sample estimators for the tail-weighted dependence measures and establish their asymptotic distributions. The practical utility of the tail-weighted dependence measures in multivariate tail inference is further demonstrated through their application to a financial dataset.
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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