An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence

Figure 6

Proportion of samples in which 𝜂=1 is rejected by a 5% test for test 1 (a) and for test 2 (b). The horizontal solid lines correspond to 95% confidence (black) and 5% significance (grey). The four values plotted in each line correspond to 𝑏=0.0025,0.005,0.01,0.015, respectively.

(a)

(b)