Tail dependence for two skew \(t\) distributions

DOI10.1016/j.spl.2010.01.011zbMath1186.62069MaRDI QIDQ968464

Thomas Fung, Eugene Seneta

Publication date: 5 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.spl.2010.01.011

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62G32: Statistics of extreme values; tail inference

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Uses Software

• sn

Cites Work

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• Tail dependence for elliptically contoured distributions
• A note on moment generating functions
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• Some skew-symmetric models
• The multivariate skew-normal distribution
• Multivariate extremes, aggregation and dependence in elliptical distributions
• The Skew-normal Distribution and Related Multivariate Families*
• A general class of multivariate skew-elliptical distributions