The tail dependograph

Abstract

All characterizations of non-degenerate multivariate tail dependence structures are both functional and infinite-dimensional. Taking advantage of the Hoeffding–Sobol decomposition, we derive new indices to measure and summarize the strength of dependence in a multivariate extreme value analysis. The tail superset importance coefficients provide a pairwise ordering of the asymptotic dependence structure. We then define the tail dependograph, which visually ranks the extremal dependence between the components of the random vector of interest. For the purpose of inference, a rank-based statistic is derived and its asymptotic behavior is stated. These new concepts are illustrated with both theoretical models and real data, showing that our methodology performs well in practice.