Ferreira, Helena; Ferreira, Marta - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 176-192
In this work, we introduce the s,k-extremal coefficients for studying the tail dependence between the s-th lower and k …-th upper order statistics of a normalized random vector. If its margins have tail dependence then so do their order statistics …, with the strength of bivariate tail dependence decreasing as two order statistics become farther apart. Some general …