On the extremal dependence coefficient of multivariate distributions (Q2497808)
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scientific article; zbMATH DE number 5043955
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| English | On the extremal dependence coefficient of multivariate distributions |
scientific article; zbMATH DE number 5043955 |
Statements
On the extremal dependence coefficient of multivariate distributions (English)
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4 August 2006
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asymptotic dependence
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copula
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elliptical distribution
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extremal dependence
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tail dependence coefficient
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tail index
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0.8695350289344788
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0.8397349715232849
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0.8319912552833557
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0.8228718638420105
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0.817244291305542
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