Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables,
Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables,
Meta densities and the shape of their sample clouds
Journal of Multivariate Analysis
Tail order and intermediate tail dependence of multivariate copulas
Journal of Multivariate Analysis
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The residual dependence coefficient was originally introduced by Ledford and Tawn (1996) [25] as a measure of residual dependence between extreme values in the presence of asymptotic independence. We present a geometric interpretation of this coefficient with the additional assumptions that the random samples from a given distribution can be scaled to converge onto a limit set and that the marginal distributions have Weibull-type tails. This result leads to simple and intuitive computations of the residual dependence coefficient for a variety of distributions.