Random Threshold Driven Tail Dependence Measures with Application to Precipitation Data Analysis
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DOI: 10.5705/ss.202014.0421
Abstract: This paper first studies the theoretical properties of the tail quotient correlation coefficient (TQCC) which was proposed to measure tail dependence between two random variables. By introducing random thresholds in TQCC, an approximation theory between… read more here.
Keywords: tail dependence; threshold driven; random threshold; tail ... See more keywords