A tail-sensitive generalization of Spearman’s coefficient for upper-tail dependence analysis

M. A. Sordo Díaz

In this paper, we introduce two classes of copula-based dependence measures designed to assess tail dependence at sub-asymptotic levels. The first class includes, as special cases, Spearman’s coefficient and Blest’s index, while the second arises as a limiting case of the first. Our approach generalizes Spearman’s coefficient to focus explicitly on tail behavior, offering a flexible and interpretable tool for evaluating co-movements in extreme, yet non-asymptotic, regions of the distribution. For both classes, we establish theoretical properties, propose rank-based estimators, derive their asymptotic distributions, and demonstrate their performance through simulation studies and an empirical application.

Keywords: Tail dependence, Order statistics, Concomitants

GT Ordenaciones estocásticas y sus aplicaciones
September 2, 2026  3:30 PM
Aula 22

J. Cárcamo Urtiaga

D. I. Flores Silva, M. A. Sordo Diaz, A. Suárez Llorens

P. Oliveira

A. Suárez Llorens