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

DOI10.1016/j.jmva.2014.03.004zbMath1352.62074arXiv1312.0983OpenAlexW2007311982MaRDI QIDQ2451619

Eugene Seneta, Thomas Fung

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

convergence ratequantile functionasymptotic tail dependence coefficientbivariate skew-\(t\) distribution

Mathematics Subject Classification ID

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

Related Items

Extremal properties of the skew-\(t\) distribution, Extremal properties of the beta-normal distribution, Tail asymptotics for the bivariate skew normal, Tail dependence functions of two classes of bivariate skew distributions, Extremal properties of the multivariate extended skew-normal distribution. Part B, 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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The bivariate normal copula function is regularly varying
• Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
• Tail dependence for two skew \(t\) distributions
• Multivariate extremes of generalized skew-normal distributions
• An introduction to copulas. Properties and applications
• Bivariate distributions with given extreme value attractor
• Tails of correlation mixtures of elliptical copulas
• THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL
• Tail dependence and skew distributions
• Robust Likelihood Methods Based on the Skew-t and Related Distributions
• A New Class of Models for Bivariate Joint Tails
• An Asymptotic Expansion for the Tail Area of the t-Distribution
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Extreme Value Distributions for the Skew-Symmetric Family of Distributions
• A general class of multivariate skew-elliptical distributions
• A directory of coefficients of tail dependence