Convergence rate to a lower tail dependence coefficient of a skew-t distribution

DOI10.1016/J.JMVA.2014.03.004MaRDI QIDQ2451619zbMATH OpenOpenAlexFDO

Authors Thomas Fung, Eugene Seneta

Publication date 4 June 2014

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

Full work available at URL https://arxiv.org/abs/1312.0983

zbMATH Keywords

asymptotic tail dependence coefficientbivariate skew-\(t\) distributionconvergence ratequantile function

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution, and hence is an appropriate (skew) extension. The rate is asymptotically power-law. The second-order structure of the univariate quantile function for such a skew-t distribution is a central issue.

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Cited in

(12)

• Extremal properties of the multivariate extended skew-normal distribution. Part B
• Tail dependence of generalized modified skew slash distribution
• Extremal properties of the beta-normal distribution
• Tail dependence functions of the bivariate Hüsler-Reiss model
• Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
• Extremal properties of the skew-t distribution
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• Tail dependence of skew t-copulas
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• Amortized neural inference on bivariate tail dependence and tail asymmetry
• Tail asymptotics for the bivariate skew normal
• Tail dependence for two skew t distributions

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