Multivariate distributions from mixtures of max-infinitely divisible distributions
Journal of Multivariate Analysis
An Introduction to Copulas (Springer Series in Statistics)
An Introduction to Copulas (Springer Series in Statistics)
Multivariate conditional versions of Spearman's rho and related measures of tail dependence
Journal of Multivariate Analysis
Tail dependence functions and vine copulas
Journal of Multivariate Analysis
Constructing hierarchical Archimedean copulas with Lévy subordinators
Journal of Multivariate Analysis
Multivariate extreme models based on underlying skew-t and skew-normal distributions
Journal of Multivariate Analysis
On Pearson-Kotz Dirichlet distributions
Journal of Multivariate Analysis
Tail dependence between order statistics
Journal of Multivariate Analysis
Statistical analysis of bivariate failure time data with Marshall-Olkin Weibull models
Computational Statistics & Data Analysis
Journal of Multivariate Analysis
Extremal dependence of copulas: A tail density approach
Journal of Multivariate Analysis
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The orthant tail dependence describes the relative deviation of upper- (or lower-) orthant tail probabilities of a random vector from similar orthant tail probabilities of a subset of its components, and can be used in the study of dependence among extreme values. Using the conditional approach, this paper examines the extremal dependence properties of multivariate extreme value distributions and their scale mixtures, and derives the explicit expressions of orthant tail dependence parameters for these distributions. Properties of the tail dependence parameters, including their relations with other extremal dependence measures used in the literature, are discussed. Various examples involving multivariate exponential, multivariate logistic distributions and copulas of Archimedean type are presented to illustrate the results.