Tail dependence of skew t-copulas

DOI10.1080/03610918.2014.988979zbMath1359.62214OpenAlexW2464813676MaRDI QIDQ2974910

Marju Valge, Gaida Pettere, Tõnu Kollo

Publication date: 11 April 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.988979

zbMATH Keywords

simulationtail dependenceskew normal distributionskew \(t\)-distributionskew normal copulaskew \(t\)-copula

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (6)

Quantile correlation coefficient: a new tail dependence measure ⋮ Tail dependence functions of two classes of bivariate skew distributions ⋮ Unnamed Item ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Semiparametric bivariate modelling with flexible extremal dependence ⋮ Behaviour of multivariate tail dependence coefficients

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