On tail dependence for Grubbs' copula-function

DOI10.3103/S1066369X15120063MaRDI QIDQ269085zbMATH OpenOpenAlexFDO

Authors L. K. Shiryaeva

Publication date 18 April 2016

Published in Russian Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s1066369x15120063

zbMATH Keywords

normal distributiontail dependencecopula-functionjoint distribution function of standardized maximum and minimumsymmetric copulaupper-left and lower-right tail dependencies coefficients

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 4041020 (Why is no real title available?)
• scientific article; zbMATH DE number 3083844 (Why is no real title available?)
• An introduction to copulas.
• On null and alternative distribution of statistic of two-side discordancy test for an extreme outlier
• Sample Criteria for Testing Outlying Observations
• The null distribution of the likelihood-ratio test for one or two outliers in a normal sample

Cited in

(6)

• On some properties of a symmetric Grubbs' copula
• On tail dependence for three-parameter Grubbs' copula
• On three-parameter Grubbs' copula-function
• On distribution of Grubbs' statistics in case of normal sample with outlier
• Tail dependence of the Gaussian copula revisited
• On grade transformation and its implications for copulas

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