Tail asymptotics for the bivariate skew normal

DOI10.1016/j.jmva.2015.11.002zbMath1328.62364OpenAlexW2193940313MaRDI QIDQ901284

Eugene Seneta, Thomas Fung

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

zbMATH Keywords

convergence ratequantile functionresidual tail dependenceintermediate tail dependenceasymptotic tail dependence coefficientbivariate skew normal distribution

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70)

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Uses Software

• sn

Cites Work

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