Convergence rate to a lower tail dependence coefficient of a skew-t distribution
Statistics Theory
2013-12-05 v1 Statistics Theory
Abstract
We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution, and hence is an appropriate (skew) extension. The rate is asymptotically power-law. The second-order structure of the univariate quantile function for such a skew-t distribution is a central issue.
Keywords
Cite
@article{arxiv.1312.0983,
title = {Convergence rate to a lower tail dependence coefficient of a skew-t distribution},
author = {Thomas Fung and Eugene Seneta},
journal= {arXiv preprint arXiv:1312.0983},
year = {2013}
}
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14 pages