Tail dependence for two skew t distributions | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/147025

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Title: Tail dependence for two skew t distributions
Related: Statistics and probability letters, Vol. 80, No. 9-10, (2010), p.784-791
DOI: 10.1016/j.spl.2010.01.011
Publisher: Elsevier
Date: 2010
FoR/RFCD Code(s): 010200 Applied Mathematics 010400 Statistics
Author/Creator: Fung, Thomas
Author/Creator: Seneta, Eugene
Description: We examine two bivariate skewdistributions, both of which generalize the bivariate symmetric distribution. The second, based on the bivariate skew normal distribution, always displays positive asymptotic lower taildependence. The difference is associated with the varying tail behavior of the marginals.
Description: 8 page(s)
Subject Keyword: 010200 Applied Mathematics
Subject Keyword: 010400 Statistics
Resource Type: journal article
Organisation: Macquarie University. Dept. of Statistics

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