Tail dependence of skewed grouped t-distributions

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

doi:10.1016/j.spl.2008.02.018

Tail dependence of skewed grouped t-distributions

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

Mathematics

Research output: Contribution to Journal › Article › Academic › peer-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 language	English
Pages (from-to)	2388-2399
Journal	Statistics and Probability Letters
Volume	78
Issue number	15
DOIs	https://doi.org/10.1016/j.spl.2008.02.018
Publication status	Published - 2008

Bibliographical note

MR2462674

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 16 Peace, Justice and Strong Institutions

Access to Document

10.1016/j.spl.2008.02.018

Persistent URL (handle)

Persistent link

Cite this

@article{feff2633c8e44275a4b7c14c954a9ce3,

title = "Tail dependence of skewed grouped t-distributions",

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. {\textcopyright} 2008 Elsevier B.V. All rights reserved.",

author = "K.P. Banachewicz and \{van der Vaart\}, A.W.",

note = "MR2462674 ",

year = "2008",

doi = "10.1016/j.spl.2008.02.018",

language = "English",

volume = "78",

pages = "2388--2399",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

number = "15",

}

TY - JOUR

T1 - Tail dependence of skewed grouped t-distributions

AU - Banachewicz, K.P.

AU - van der Vaart, A.W.

N1 - MR2462674

PY - 2008

Y1 - 2008

N2 - 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.

AB - 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.

U2 - 10.1016/j.spl.2008.02.018

DO - 10.1016/j.spl.2008.02.018

M3 - Article

SN - 0167-7152

VL - 78

SP - 2388

EP - 2399

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 15

ER -

Tail dependence of skewed grouped t-distributions

Abstract

Bibliographical note

UN SDGs

Access to Document

Persistent URL (handle)

Fingerprint

Cite this