On tail dependence for Grubbs' copula-function

DOI10.3103/S1066369X15120063zbMath1381.62066OpenAlexW2194469950MaRDI QIDQ269085

L. K. Shiryaeva

Publication date: 18 April 2016

Published in: Russian Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066369x15120063

zbMATH Keywords

normal distributiontail dependencecopula-functionjoint distribution function of standardized maximum and minimumsymmetric copulaupper-left and lower-right tail dependencies coefficients

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05)

Related Items (4)

On distribution of Grubbs' statistics in case of normal sample with outlier ⋮ On tail dependence for three-parameter Grubbs' copula ⋮ On three-parameter Grubbs' copula-function ⋮ О некоторых свойствах симметричной копулы Граббса

Cites Work

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• An introduction to copulas.
• On null and alternative distribution of statistic of two-side discordancy test for an extreme outlier
• The null distribution of the likelihood-ratio test for one or two outliers in a normal sample
• Sample Criteria for Testing Outlying Observations

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