Abstract
Extremal dependence describes the strength of correlation between the
largest observations of two variables. It is usually measured with
symmetric dependence coefficients that do not depend on the order of the
variables. In many cases, there is a natural asymmetry between extreme
observations that can not be captured by such coefficients. An example
for such asymmetry are large discharges at an upstream and a downstream
stations on a river network: an extreme discharge at the upstream
station will directly influence the discharge at the downstream station,
but not vice versa. Simple measures for asymmetric dependence in extreme
events have not yet been investigated. We propose the asymmetric tail
Kendall’s $\tau$ as a measure for extremal dependence
that is sensitive to asymmetric behaviour in the largest observations.
It essentially computes the classical Kendall’s $\tau$
but conditioned on the extreme observations of one of the two variables.
We show theoretical properties of this new coefficient and derive a
formula to compute it for existing copula models. We further study its
effectiveness and connections to causality in simulation experiments. We
apply our methodology to a case study on river networks in the United
Kingdom to illustrate the importance of measuring asymmetric extremal
dependence in hydrology. Our results show that there is important
structural information in the asymmetry that would have been missed by a
symmetric measure. Our methodology is an easy but effective tool that
can be applied in exploratory analysis for understanding the connections
among variables and to detect possible asymmetric dependencies.