Higher order tail densities of copulas and hidden regular variation

DOI10.1016/j.jmva.2014.12.010zbMath1321.62015OpenAlexW2046629976MaRDI QIDQ2350044

Lei Hua, Haijun Li

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.12.010

zbMATH Keywords

tail dependencemultivariate regular variationtail order functionupper exponent function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Operator tail dependence of copulas ⋮ On a bivariate copula with both upper and lower full-range tail dependence ⋮ Tail densities of skew-elliptical distributions ⋮ Conditional excess risk measures and multivariate regular variation

Cites Work

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