The bivariate normal copula function is regularly varying

DOI10.1016/j.spl.2011.06.003zbMath1228.62060MaRDI QIDQ643238

Eugene Seneta, Thomas Fung

Publication date: 28 October 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.06.003

zbMATH Keywords

inverse functions; asymptotic tail dependence

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

Related Items

Unnamed Item, Tail dependence functions of two classes of bivariate skew distributions, Dynamic bivariate normal copula, Tail dependence of the Gaussian copula revisited, Tail asymptotics for the bivariate skew normal, Quantile function expansion using regularly varying functions, Tail dependence functions of the bivariate Hüsler-Reiss model, Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution, Tail dependence for skew Laplace distribution and skew Cauchy distribution

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