most citedOn Tail Dependence Matrices -- The Realization Problem for Parametric Families

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math.ST2019★ 1 cited

On Tail Dependence Matrices -- The Realization Problem for Parametric Families

Nariankadu D. Shyamalkumar, Siyang Tao

Among bivariate tail dependence measures, the tail dependence coefficient has emerged as the popular choice. Akin to the correlation matrix, a multivariate dependence measure is co…