Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions

DOI10.1239/jap/1261670680zbMath1179.62076OpenAlexW2165935095MaRDI QIDQ3402049

Haijun Li, Yannan Sun

Publication date: 2 February 2010

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1261670680

zbMATH Keywords

copulaheavy tailtail dependencemultivariate regular variationmultivariate elliptical distributionhazard rate ordering

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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