The bivariate normal copula function is regularly varying

DOI10.1016/j.spl.2011.06.003zbMath1228.62060OpenAlexW2070499661MaRDI QIDQ643238

Eugene Seneta, Thomas Fung

Publication date: 28 October 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.06.003

zbMATH Keywords

inverse functionsasymptotic tail dependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (9)

Dynamic bivariate normal copula ⋮ Tail dependence of the Gaussian copula revisited ⋮ Tail asymptotics for the bivariate skew normal ⋮ Tail dependence functions of two classes of bivariate skew distributions ⋮ Unnamed Item ⋮ Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution ⋮ Quantile function expansion using regularly varying functions ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Tail dependence for skew Laplace distribution and skew Cauchy distribution

Cites Work

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• Tail dependence of skewed grouped \(t\)-distributions
• Tail dependence for two skew \(t\) distributions
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• An introduction to copulas. Properties and applications
• Tail dependence for elliptically contoured distributions
• Tail dependence and skew distributions
• The t Copula and Related Copulas
• A multivariate jump-driven financial asset model
• Quantile mechanics
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Regularly varying functions

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