On tail dependence for three-parameter Grubbs' copula

DOI10.3103/S1066369X20120063zbMath1466.62329OpenAlexW3118572235MaRDI QIDQ2027911

L. K. Shiryaeva

Publication date: 28 May 2021

Published in: Russian Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066369x20120063

zbMATH Keywords

copulanormal distributionoutliertail dependenceupper-left and lower-right tail dependencies coefficientsjoint distribution function of studentized minimum and maximum

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

Cites Work

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• On tail dependence for Grubbs' copula-function
• An introduction to copulas.
• On three-parameter Grubbs' copula-function
• On distribution of Grubbs' statistics in case of normal sample with outlier
• The null distribution of the likelihood-ratio test for one or two outliers in a normal sample
• О некоторых свойствах симметричной копулы Граббса
• Использование специальных функций Эрмита для исследования мощностных свойств критерия Граббса
• THE EFFICIENCY OF STATISTICAL TOOLS AND A CRITERION FOR THE REJECTION OF OUTLYING OBSERVATIONS
• Sample Criteria for Testing Outlying Observations

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