Chapter 6

Methods of Tail Dependence Estimation

Amir AghaKouchak, Scott Sellars, and Soroosh Sorooshian

Abstract Characterization and quantification of climate extremes and their

dependencies are fundamental to the studying of natural hazards. This chapter
reviews various parametric and nonparametric tail dependence coefficient
estimators. The tail dependence coefficient describes the dependence (degree of
association) between concurrent extremes at different locations. Accurate and
reliable knowledge of the spatial characteristics of extremes can help improve the
existing methods of modeling the occurrence probabilities of extreme events. This
chapter will review these methods and use two case studies to demonstrate the
application of tail dependence analysis.

6.1 Introduction

Weather and climate extremes are of particular importance due to their impacts on
the economy, environment and human life. Understanding the spatial dependence
structure of rare events is fundamental in risk assessment and decision making.
Most measures of dependence (e.g., Pearson linear correlation, Spearman (1904)
and Kendall (1962) correlation) are designed to describe the dependence of random
variables over their distributions. Most commonly used measures are not able
to correctly capture the dependence of the upper or lower parts (extremes) of
the distribution (Kotz and Nadarajah 2000). For example, the Pearson correlation
coefficient may not exist for random variables above a certain high (extreme)
threshold (De Michele et al. 2003). The Pearson linear correlation describes how

A. AghaKouchak () • S. Sellars • S. Sorooshian

Department of Civil and Environmental Engineering, University of California Irvine,
92697 Irvine, CA, USA
e-mail: amir.a@uci.edu; scott.sellars@uci.edu; soroosh@uci.edu

A. AghaKouchak et al. (eds.), Extremes in a Changing Climate, Water Science 163

and Technology Library 65, DOI 10.1007/978-94-007-4479-0 6,
© Springer ScienceCBusiness Media Dordrecht 2013
164 A. AghaKouchak et al.

Fig. 6.1 (left): Upper tail values (upper right quadrant – above dotted lines) of V1 and V1 are
locally independent; (right): Upper tail values of V1 and V2 seem to be locally correlated (Modified
after AghaKouchak et al. (2010c))

well two random variables are linearly correlated with respect to their entire
distribution. However, this information cannot be used to understand how the
extremes of two random variables are dependent (Serinaldi 2008).
In general, most dependence measures associate the entire distribution of two
or more random variables. However, the dependence between the upper part of the
distribution may be different than the mid-range and/or lower part of the distribution
(Embrechts et al. 2002). For example, two random variables with low dependence
between mid-range values, but strong association among high (low) values.
In extreme value analysis, the tail dependence coefficient describes the asso-
ciation between the upper or lower part (tail) of two or more random variables
(Schmidt 2005; Frahm et al. 2005; Ledford and Tawn 1997). The tail dependence
coefficient is first introduced by Sibuya (1959) as the dependence in the upper-right
and lower-left quadrants of a bivariate distribution function. Put differently, in a
bivariate distribution, the tail dependence refers to the limiting proportion that one
variable’s marginal distribution exceeds a certain threshold given the other variable’s
margin has already exceeded the same threshold.
Figure 6.1 explains the concept of tail dependence using an example. The figure
displays two generated random variables with the same linear correlation coefficient
of approximately 0.7. Figure 6.1 (left) is simulated using the bivariate normal
distribution, and Fig. 6.1 (right) is generated using the bivariate t-distribution. In
both cases the simulated variables are transformed to uniform [0-1] distribution.
The variables (V1 and V2 ) in both figures show positive Pearson linear correlation
coefficient ( 0:7). However, the upper right quadrant (above the dotted lines) is
different in the left and right panels of Fig. 6.1. As shown, in Fig. 6.1 (left) the values
in the upper right quadrant (upper tails of V1 and V1 ) are locally independent, while
in Fig. 6.1 (right) the upper tail values seem to be locally correlated (compare the
6 Methods of Tail Dependence Estimation 165

upper right corners of both panels). This indicates that the probability of occurrence
of V2 above a given high threshold (e.g., dotted line in the figure), assuming V1
exceeds the same threshold is higher in the right panel compared to the left panel in
Fig. 6.1. For additional information and graphical examples, the interested reader is
referred to Fisher and Switzer (2001) and Abberger (2005).
Parametric methods are frequently used for univariate extreme value analysis
(e.g., Fisher and Tippett 1928; Gumbel 1958). On the other hand, in multivariate
extreme value analysis, the joint probabilities of multiple random variables is
considered. This includes the probability occurrence (risk) of each variable based
on its univariate marginal distribution and the dependence of multiple probability
occurrences. Depending on the marginal distribution of random variables and their
dependence structure, a parametric model may or may not be sufficient to model the
characteristics of the joint extremes. Thus far, many parametric and nonparametric
methods have been developed for analysis of tail dependence of random variables
(Schmidt and Stadtmüller 2006; Malevergne and Sornette 2004; Poon et al. 2004;
Ledford and Tawn 2003; Malevergne and Sornette 2002; Ledford and Tawn 1996).
In the past three decades, most applications of tail dependence models have
been in financial risk management and dependence analysis of between extreme
assets (e.g., Schmidt (2005), Frahm et al. (2005) and Embrechts et al. (2002) and
references therein). In particular, many non-parametric methods are introduced
based on the concept of empirical copula. Copulas are multivariate distribution
functions that can describe the dependence of two or more random variables
independent of their marginal distrubtions. In recent years, multivariate copulas
have been applied in numerous hydrologic applications (Nazemi and Elshorbagy
2011; AghaKouchak et al. 2010b; Bárdossy and Li 2008; Serinaldi 2009; Zhang
et al. 2008; AghaKouchak et al. 2010a; Favre et al. 2004; De Michele and Salvadori
2003; Kelly and Krzysztofowicz 1997). Renard and Lang (2007) investigated
the usefulness of the multivariate normal copula in extreme value analysis. With
several case studies, Renard and Lang (2007) demonstrated that the multivariate
normal copula can be reasonably used for extreme value analysis. However, the
authors acknowledge that the low probabilities can be significantly underestimated
if asymptotically dependent random variables are described by the normal copula,
which is an asymptotically independent model. Serinaldi (2008) investigated the
association of rainfall data using the non-parametric Kendall rank correlation.
The study suggests a copula-based mixed model for modeling the dependence
structure and marginal distributions of variables.
In general, the tail dependence between variables may strongly depend on
the choice of model or estimation technique (Frahm et al. 2005). This chapter
reviews several parametric and non-parametric tail dependence estimators. Various
aspects of modeling tail dependence between variables are discussed in detail,
including the choice of extreme value threshold, and advantages and disadvantages
of tail dependence models. The chapter is organized into seven sections. After the
introduction, the concept of tail dependence is reviewed. The third section is devoted
to parametric tail dependence analysis and copulas. In section four, non-parametric
166 A. AghaKouchak et al.

methods are discussed. Section five provides additional insight into the choice of
extreme value threshold. The last section highlights two case studies using the tail
dependence estimators.

6.2 Tail Dependence: Basic Definitions

Let X1 ; : : : ; Xn be n random variables. The the upper tail (up ) for a multivariate
distribution with n random variables X.X1 ; : : : ; Xn / is defined as (Joe 1997;
Melchiori 2003):

up D lim Pr .F1 .X1 / > tjF2 .X2 / > t : : : Fn .Xn / > t/ (6.1)
u!1

In Eq. 6.1, F1 ; : : : ; Fn are the cumulative distribution functions for the random
variables X1 ; : : : ; Xn , and t is the extreme value threshold. The equation expresses
the probability (P r) of occurrence of extremes (values above the threshold t)
in X1 , conditioned on the occurrence of extremes (above the same threshold) in
X2 ; : : : ; Xn . Similarly, the lower tail dependence coefficient (lo ) is described as:

lo D lim Pr.F1 .X1 /  tjF2 .X2 /  t : : : Fn .Xn /  t/ (6.2)

u!1

The multivariate distribution function is said to be upper tail dependent if 0 <

up  1 and upper (lower) tail independent if up D 0 (lo D 0). For example,
in Fig. 6.1 (left), the upper tail coefficient is approximately zero (up  0), while
for Fig. 6.1 (right) the upper tail coefficient is approximately 0.8 (up  0:8). For a
more comprehensive discussion on the theoretical concept of tail independence, the
interested reader is referred to Draisma et al. (2004) and Husler and Li (2009).

6.3 Copulas and Tail Dependence

The upper (lower) tail coefficient can also be defined using copulas. Copulas are
joint cumulative distribution functions that describe dependencies among variables
independent of their marginals (Joe 1997; Nelsen 2006):

C n .u1 ; : : : ; un / D F .F11 .u1 /; : : : ; Fn1 .un // (6.3)

where C n is an n-dimensional joint cumulative distribution function (CDF) of a

multivariate random variable (U.U1 ; : : : ; Un /) and whoses marginals are uŒ0; 1.
Equation 6.1 can be alternatively presented as:

up D lim Pr .X1 > FX1

1
.u/jX2 > FX1
2
.u/ : : : Xn > FX1
n
.u// (6.4)
u!1
6 Methods of Tail Dependence Estimation 167

where F11 ; : : : ; Fn1 are the inverse CDF of the random variables X1 ; : : : ; Xn .
Notice that the conditional probability, given in Eq. 6.4, can be described as:

Pr .X1 > FX1

1
.u/jX2 > FX1
2
.u/ : : : Xn > FX1
n
.u//
1Pr.X1 FX1 .u// : : : Pr.Xn FX1 .u//CPr.X1 FX1 .u/; : : : ;Xn FX1 .u//
D 1 n 1 n

1  P r.X2  FX1
2
.u//  : : :  Pr.Xn  FX1
n
.u//
(6.5)

Substituting Eq. 6.3 into Eq. 6.5 with some algebraic manipulation yields the
following formulation for the upper tail (Joe 1997; Frahm et al. 2005):

1  nu C C .n/ .u; : : : ; u/
up D lim (6.6)
u!1 1  .n  1/u

Similarly, the lower tail dependence coefficient (lo ) can be expressed as (Joe
1997):
C .n/ .u; : : : ; u/
lo D lim (6.7)
u!1 .n  1/u
There are various copulas families, which have been developed for different
purposes. One major difference between different copula families is the upper
(lower) tail association they represent. For example, copula families may differ
in the upper and lower tail of the distribution, where the dependence is strongest
(weakest). In this study, two elliptical copulas, namely a normal copula and t-copula,
as well as a non-Gaussian (v-transformed) copula, are used for simulations. In the
following section, a number of copula families and their tail dependence behavior is
discussed.

6.3.1 Gaussian Copula

One of the most commonly used copula families is the multivariate Gaussian
(normal) copula, which is obtained from the multivariate normal distribution
(Nelsen 2006):

C .u1 ; : : : ; un / D Fn .F 1 .u1 /; : : : ; F 1 .un // (6.8)

Equation 6.8 describes an n-dimensional multivariate Gaussian copula with

correlation matrix n
n whose density function is:
 
1 1 0 1
c.u1 ; : : : ; un / D p exp  y.u/ .  I /y.u/ (6.9)
det 2
168 A. AghaKouchak et al.

where: F n D Multivariate Gaussian CDF

y.ui / D F 1 .ui /

6.3.2 t-Copula

The t-copula (alternatively known as Student copula), is an elliptical copula derived

from the Student distribution:

C; .u1 ; : : : ; un / D t;
n
.t1 .u1 /; : : : ; t1 .un // (6.10)

where: t n D Multivariate Student CDF

 D shape matrix and
 D degrees of freedom
  Z x1 Z xn
1 Cn dx
n
t; .x/ D p   2  : : :  .Cn/=2 (6.11)
0
det 2 .
/n=2 1 1
1C x 1 x


For  > 2, the shape matrix () is proportional to the correlation matrix
(Malevergne and Sornette 2003). The density function of the t-copula is expressed
as (Malevergne and Sornette 2003):
 .C1/=2
 Cn     n1 y2
1
n
˘kD1 1 C k
c.u1 ; : : : ; un / D p 2  C1 2 n   0 1
.Cn/=2 (6.12)
det 2 1 C y  y

where: yk = t1 .uk /
t = univariate Student distribution with  degrees of freedom
Both Gaussian and t-copulas are elliptical; however, they represent different tail
dependencies. The Gaussian copula is upper (lower) tail independent (up  0)
regardless of the correlation coefficient among variables (Coles 2001; Renard and
Lang 2007; Mikosch and Resnick 2006). This indicates that the extreme values from
the different random variables occur independently, even if the random variables
exhibit a high correlation. It is worth pointing out that for independent variables,
one could expect up D 0. Note that the converse is not necessarily true, meaning
that up D 0 does not indicate that the random variables are necessarily independent
(Malevergne and Sornette 2003).
Contrary to the Gaussian copula, the t-copula can capture the upper (lower)
tail dependence (if exists) among two or more random variables. The t-copula can
capture the asymptotic dependence even when the variables are negatively (in-
versely) associated (Embrechts et al. 2001). In t-copula formulation, as  increases,
the tail dependence weakens, and thus, the probability of occurrence of extreme
values reduces. Figure 6.2a displays the tail behavior of the bivariate t-copula with
 D 1  10. The Figure presents occurrences of x > 0:8 (percentage) in both
6 Methods of Tail Dependence Estimation 169

Fig. 6.2 Tail dependence behavior from bivariate random variable simulated using (a) t-copula
and (b) Gaussian copula. The y-axes show the occurrences of joint extremes (percentage)
in dependent random variables simulated using t-copula and Gaussian copula (modified after
AghaKouchak et al. 2010b)

random vectors of the bivariate t-copula. One can see that an increase in  results in
less occurrences of extremes (values above the threshold t in Eq. 6.1). Figure 6.2b
shows the tail dependence of Gaussian copula. The occurrence of joint extremes in
Gaussian copulas is considerably less than t-copula (threshold: 0.8). This indicates
that if strong dependence exist among multiple variables, using the Gaussian copula
may not be suitable for modeling dependence of extremes. In fact, the multivariate
Gaussian distribution is upper (lower) tail independent (up  0) meaning it cannot
be used to describe dependencies of extremes (Coles 2001; Renard and Lang 2007).
It is noted that the tail behavior of a multivariate model depends solely on the type
of copula and not on the marginal distribution of individual variables. Therefore,
in modeling the dependencies of extremes, the choice of copula family plays a
significant role.

6.3.3 Gumbel-Hougaard Copula

In the following section, a heavy upper tailed Archimedean copula (Nelsen 2006),
known as the Gumbel-Hougaard copula, is introduced. Unlike many copula fami-
lies, Archimedean copulas are not derived from standard multivariate distributions.
Generally, the multivariate Archimedean copulas can be expressed as:
!
X
n
1
C.x1 ; : : : ; xn / D ‰ ‰.Fi .xi // (6.13)
i D1

where ‰ is the so-called generator function. For the Gumbel-Hougaard copula, the
generator function can be expressed as:

‰.x/ D . ln.x// (6.14)

where:  1 D copula parameter:

170 A. AghaKouchak et al.

By substituting Eq. 6.14 into Eq. 6.13, the general formulation of the bivariate
Gumbel-Hougaard copula can be described as (Venter 2002):
   1 
C.u; / D exp  . ln u/ C . ln / (6.15)

Equation 6.15 represents the bivariate Gumbel-Hougaard copula with variables

uŒ0; 1 and Œ0; 1. The Gumbel-Hougaard copula is parameterized through a single
parameter . The copula parameter is to be estimated based on available data.
By substituting Eq. 6.15 into Eq. 6.6, the upper tail dependence coefficient for the
Gumbel-Hougaard copula can be derived as: up D 2  2 (Salvadori et al. 2007;
Frahm et al. 2005; Nelsen 2006). A discussion on copula parameter estimation
techniques is beyond the scope of this chapter. The interested reader is pointed to
Genest et al. (1995), Salvadori et al. (2007) and Nelsen (2006) for more detailed
discussions on parameter estimation.

6.4 Nonparametric Tail Dependence Methods

There are different nonparametric tail dependence estimators that can be used to
evaluate the significance of tail behavior. The first nonparametric approach intro-
duced here is based on the concept of the empirical copula (C m ) – AghaKouchak
et al. (2010c):  
1 1
C m .u; / D F.m/ F.m/1 .u/; F.m/2 ./ (6.16)

where F.m/ refers to the empirical distribution of random variables. The tail
.1/
dependence estimator up is then expressed as (Schmidt and Stadtmüller 2006):
  
T m k k
up D
.1/ C 1  ;1  1  ;1 (6.17)
k T T
1 T j j
D † I.R1 > T  k; R2 > T  k/
k j D1

where: T = sample size

k = threshold rank
j
R1 = rank of uj
j
R2 = rank of  j
I = indicator function
It is worth pointing out that Eq. 6.17 is the empirical copula with the interval
.1/
.1  Tk ; 1  .1  Tk ; 1. That is, up is derived using the empirical tail-copula
introduced by Genest et al. (1995).
6 Methods of Tail Dependence Estimation 171

.2/
Haung (1992) suggested another tail dependence measure (here, up ) based on
empirical copulas and extreme value theory:
  
T k k
.2/
up D 2 1C m
1  ;1 
k T T
1 T j j
D 2 † I.R1 > T  k OR R2 > T  k/ (6.18)
k j D1
Coles et al. (1999) proposed a different nonparametric tail dependence measure
.3/
(up )
as follows (Frahm et al. 2005):
 T k 
log C m ; T k
.3/
up D2  TTk  T (6.19)
log T

where
j j
!
1 R1 R
C .u; / D †Tj D1 I
m
 u; 2   (6.20)
T T T
.4/
Another nonparametric tail dependence estimator (here, up ) is proposed by Joe
et al. (1992):  
1  C m T Tk ; T Tk
up D 2 
.4/
(6.21)
1  T Tk
where the term C m is the empirical copula as described in Eq. 6.20. It should be
noted that nonparametric methods of estimating tail dependence is not limited to
the ones mentioned above (see for example Capéraa et al. 1997).

6.5 Extreme Value Threshold

Estimation of the extreme value threshold requires assuming a threshold above

(or below) values that are considered as extreme (Frahm et al. 2005). For tail
dependence analysis, one can use a fixed (e.g., above 95 % of data) or variant thresh-
old approach. The so-called optimal threshold approach (Frahm et al. 2005; Peng
1998) uses a kernel plateau-finding algorithm to estimate the optimal extreme value
threshold. In this method, the optimal plateau is estimated in four steps: (1) a kernel
box with a bandwidth of b (e.g., b D int.0:05n/) is selected; (2) the mean values of
the coefficients that fall withinp each box results in n  2b  values; (3) for a moving
plateau with a length of l D n  2b, the corresponding  values are calculated
(k ; : : : ; kClC1 where k=1,. . . , n  2b  m C 1); (IV) the optimal plateau (extreme
value threshold) is the first one that fulfills the following condition (for more detailed
description, the reader is referred to Frahm et al. (2005) and Peng (1998)):

i DkC1 ji  k j  2¢
†kCl1 (6.22)
172 A. AghaKouchak et al.

Fig. 6.3 Variability of the tail dependence coefficient with respect to threshold (After AghaK-
ouchak et al. (2010c))

where ¢ is the standard deviation of the i values (means of coefficients that fall
within each box). The optimal tail dependence coefficient is then expressed as:

1 T
D † kCi 1 (6.23)
T i D1
Figure 6.3 displays an example of tail dependence coefficient variability versus
the choice of extreme value threshold. In this figure, the box refers to the plateau
that satisfies the condition mentioned above (Eq. 6.22) and its corresponding TDC.
Note that the box size in Fig. 6.3 is not scaled, and the box size is placed on the
figure for illustration. For other methods of extreme value threshold estimation, the
interested reader is pointed to Tancredi et al. (2006).

6.6 Case Studies

Case Study A: In the following example, the tail dependence coefficient is used for
analysis of anisotropy of spatial dependencies of extremes. Figure 6.4 displays the
rainfall accumulations above 95 % threshold normalized to [0-1]. The precipitation
data used in this example is from the Precipitation Estimation from Remotely
Sensed Information using Artificial Neural Networks (PERSIANN, Sorooshian
et al. 2000; Hsu et al. 1997) data set, which is an infrared-based microwave-adjusted
precipitation product. The tail dependence coefficient is estimated using Eq. 6.17
.1/
(up ) for the two perpendicular directions shown in Fig. 6.4. In this example, the
data is smoothed with a moving-average window with bandwidth of 2 pixels and
80 % overlap. Figure 6.5 indicates that heavy precipitation rates are dependent over
6 Methods of Tail Dependence Estimation 173

Fig. 6.4 Sum of rainfall exceedance above 95 % normalized to [0-1]

Fig. 6.5 Tail dependence behavior of rainfall data in (left) E-W, and (right) N-S directions versus
distance (km)

longer distances in the horizontal direction (see Fig. 6.5 (left)) as opposed to the
vertical direction (see Fig. 6.5 (right)). This indicates that the spatial dependence
structure of heavy rainfall rates is asymmetrical, and in this example, heavy rainfall
rates are spatially more dependent in the horizontal direction.
Case Study B: Many earth science variables provide excellent data for studying
spatial dependencies of extreme events. This example demonstrates a nonparametric
approach to evaluating the dependence structure of the extreme precipitation
values over a region in the southern part of the United States. Understanding
extreme precipitation spatial dependencies and behavior on the local, regional and
global scale will provide enhanced insight in the spatial dependence structure of
precipitation in different regions of the world. This information can then be used to
assist in planning and decision making purposes.
174 A. AghaKouchak et al.

.1/
Fig. 6.6 Two nonparametric methods for calculating tail dependence coefficients. (Top) up for
.2/
three percentile groups, 75th, 90th and 95th as described in Eq. 6.17; and (Bottom) up for three
percentile groups, 75th, 90th and 95th as described by 6.18

Two nonparametric tail dependence methods based on empirical copulas are used
.1/ .2/
to derive tail dependence estimators: (1) up introduced in Eq. 6.17; and (2) up
introduced in Eq. 6.18. In both cases, the tail dependence estimator helps describe
the dependent structure or degree of association between concurrent rainfall ex-
tremes at different locations. High spatial and temporal resolution precipitation data
can be analyzed using these nonparametric tail dependence methods, which allows
for solving for the tail dependence coefficient and thus describing the dependence
structure of the extreme precipitation events.
The study region is over Mississipp, which is located in the southern part of
the United States with a latitude of 38N to 35.5N and longitude of 110W to
107:5W from January 1st, 2005 to December 31st, 2008. The precipitation data
used in this example is the National Center for Environmental Prediction (NCEP)’s
Stage 4 mosaic multi-sensor national precipitation analysis, which has a 4 km spatial
resolution and hourly temporal resolution (Lin and Mitchell 2005).
.1/ .2/
Solving for up (Eq. 6.17) and up introduced in Eq. 6.18, and smoothing the
results for display purposes, one can see the dependence structure of precipitation
for the data in this region. Similar to the previous example, the data is smoothed
using a moving-average window with a bandwidth of 2 pixels and 80 % overlap.
Figure 6.6 shows three different precentile groupings of the extreme precipitation
.1/ .2/
events: 75th percentile, 90th precentile and 95th precentile for up and up
6 Methods of Tail Dependence Estimation 175

.1/ .2/
Fig. 6.7 Tail dependence analysis using up and up and based on the concept of optimal
threshold introduced in Eqs. 6.22 and 6.23

.1/
tail dependence methods. Both nonparametric tail dependence methods from up
.2/
(Fig. 6.6, top) and up (Fig. 6.6, bottom) are consistent with each other showing
the expected decrease in dependence with distance across each of the different
precentile groups. The figure indicates that the spatial dependence of extreme
convective precipitation will decrease rapidly as distance increases. This is expected
because with extreme precipitation events, spatial dependence is typically the
highest near the region of convective activity, which produces the largest observed
precipitation. This is not always the case, for example, extra-tropical cyclones can
also produce extreme precipitation events and can have spatial dependence up to a
few hundred kilometers.
.1/ .2/
Figure 6.7 displays up (Fig. 6.7, top) and up (Fig. 6.7, bottom) methods using
the concept of optimal threshold (Eqs. 6.22 and 6.23) to determine the percentile
for calculating the tail dependence coefficient as well as a smoothed version for
176 A. AghaKouchak et al.

illustration purposes. Contrary to commonly used method (Fig. 6.6), this approach
of tail dependence analysis is independent of a fixed (constant) threshold. In other
words, this method provides a tail dependence analysis that does not require addi-
tional decisions regarding the choice of extreme value threshold (Frahm et al. 2005).

6.7 Summary and Conclusions

Extreme events (e.g., floods, droughts, heat waves) have varying spacial dependence
structures across different geographic locations and the understanding of these de-
pendencies is fundamental to risk assessment and decision making. Understanding
the different characteristics of extreme events, including spatial dependence, will
provide regional planners and policy makers with information and knowledge of
extreme events that impact their the local and regional communities. Spatial charac-
teristics of extreme events can be investigated through estimation of tail dependence
coefficient for different locations. This chapter reviewed several nonparametric and
parametric tail dependence coefficient estimators. The tail dependence coefficient
describes the degree of association between concurrent extremes. The presented
nonparametric methods are based on the concept of bivariate empirical copula of
random variables, whereas the parametric approach is based on the concept of
Gumbel-Hougaard Copula. The chapter also reviewed different aspects of modeling
tail dependence such as the choice of extreme value threshold.
In the first case study, the tail dependence coefficient is used for analysis of
anisotropy of spatial dependencies of extremes. The results showed that the spatial
dependence structure of heavy rainfall rates was asymmetrical. In the second ex-
ample, the tail dependence coefficient is used to investigate spatial dependencies of
precipitation extremes on a local scale revealing the spatial dependence structure of
the extreme convective precipitation as described by the tail dependence coefficient.
Extreme precipitation impacts many aspects of human society, such as loss of
property and life due to flooding and area destruction from severe storms.
In the case studies, a kernel plateau-finding algorithm is used to obtain tail
dependence coefficients, avoiding a fixed extreme value threshold. The results of
previous studies (e.g., AghaKouchak et al. 2010c) reveal that using the kernel
plateau-finding algorithm for tail dependence is superior to the fixed threshold
approaches. This method, also known as the optimal threshold approach, can obtain
a measure of tail dependence that does not require additional decisions regarding
the choice of extreme value threshold.
The tail dependence coefficient has numerous applications including: validation
and verification of weather and climate models in reproducing extreme events;
analysis of simultaneous extremes; probabilistic assessment of occurrences of
extremes, and understanding climate variability. For example, by deriving tail
dependence coefficients for simulations of a numerical weather prediction model or
a climate model, one can evaluate whether these models produces dependencies as
seen in the observations. These approaches are not limited to precipitation, but also
6 Methods of Tail Dependence Estimation 177

a wide variety of earth science variables. This study of extremes tail dependence on
local, regional and global scales can assist in planning and policy making as well as
validating numerical models, thus providing a valuable tool for understanding how
extreme events impact society.

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