Strength of tail dependence based on conditional tail expectation

@article{Hua2014StrengthOT,
  title={Strength of tail dependence based on conditional tail expectation},
  author={Lei Hua and Harry Joe},
  journal={J. Multivariate Analysis},
  year={2014},
  volume={123},
  pages={143-159}
}
We use the conditional distribution and conditional expectation of one random variable given the other one being large to capture the strength of dependence in the tails of a bivariate random vector. We study the tail behavior of the boundary conditional cumulative distribution function (cdf) and two forms of conditional tail expectation (CTE) for various bivariate copula families. In general, for nonnegative dependence, there are three levels of strength of dependence in the tails according to… CONTINUE READING