Methods of Tail Dependence Estimation

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.