Tail asymptotics for the bivariate skew normal
DOI10.1016/J.JMVA.2015.11.002zbMATH Open1328.62364OpenAlexW2193940313MaRDI QIDQ901284FDOQ901284
Authors: Thomas Fung, Eugene Seneta 
Publication date: 23 December 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.11.002
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convergence ratequantile functionresidual tail dependenceintermediate tail dependenceasymptotic tail dependence coefficientbivariate skew normal distribution
Extreme value theory; extremal stochastic processes (60G70) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
- Statistical Applications of the Multivariate Skew Normal Distribution
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- Statistics for near independence in multivariate extreme values
- Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
- An introduction to copulas.
- The multivariate skew-normal distribution
- On the Lambert \(w\) function
- A new class of models for bivariate joint tails
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- Regularly varying functions
- Multivariate extremes of generalized skew-normal distributions
- Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
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- The joint distribution of stock returns is not elliptical
- Tail order and intermediate tail dependence of multivariate copulas
- The bivariate normal copula function is regularly varying
- A Correlation Model Useful in the Study of Twins
- Statistical implications of selectively reported inferential results
- Tails of correlation mixtures of elliptical copulas
- On the residual dependence index of elliptical distributions
- On the approximation of the tail probability of the scalar skew-normal distribution
- Tail dependence for two skew \(t\) distributions
- Tail dependence for two skew slash distributions
Cited In (14)
- A theorem on the asymptotics of skew-normal type integrals
- Quantile function expansion using regularly varying functions
- Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
- The bivariate normal copula function is regularly varying
- Skew shape asymptotics, a case-based introduction
- Title not available (Why is that?)
- Methanol futures hedging with skewed normal distribution by copula method
- On the approximation of the tail probability of the scalar skew-normal distribution
- Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
- Tail dependence functions of two classes of bivariate skew distributions
- Tail dependence functions of the bivariate Hüsler-Reiss model
- Tail dependence for two skew slash distributions
- Tail dependence for two skew \(t\) distributions
- Extremal properties and tail asymptotic of alpha-skew-normal distribution
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