Tail dependence of skewed grouped t-distributions

K.P. Banachewicz, A.W. van der Vaart

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We derive the upper tail dependence coefficient (TDC) for a random vector following a grouped skewed t-distribution. We also analyze the impact of parameter changes on the TDC. © 2008 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)2388-2399
JournalStatistics and Probability Letters
Volume78
Issue number15
DOIs
Publication statusPublished - 2008

Bibliographical note

MR2462674

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