Tail dependence for two skew slash distributions

Chengxiu Ling; Zuoxiang Peng

doi:10.4310/SII.2015.v8.n1.a6

Tail dependence for two skew slash distributions

Chengxiu Ling^*
, Zuoxiang Peng

^*Corresponding author for this work

University of Lausanne
Southwest University

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

Coefficients of tail dependence measure the dependencies between extreme values. In this paper, the upper tail dependence coefficients of two classes of skew slash distributions are derived. The difference of tail dependence coefficients between the two types skew slash distributions sheds light on the model choice for random variables with asymptotic dependence.

Original language	English
Pages (from-to)	63-69
Number of pages	7
Journal	Statistics and its Interface
Volume	8
Issue number	1
DOIs	https://doi.org/10.4310/SII.2015.v8.n1.a6
Publication status	Published - 2015
Externally published	Yes

Keywords

Skew slash distribution
Skew-normal distribution
Tail dependence coefficient
Variance-mean mixture

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10.4310/SII.2015.v8.n1.a6

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title = "Tail dependence for two skew slash distributions",

abstract = "Coefficients of tail dependence measure the dependencies between extreme values. In this paper, the upper tail dependence coefficients of two classes of skew slash distributions are derived. The difference of tail dependence coefficients between the two types skew slash distributions sheds light on the model choice for random variables with asymptotic dependence.",

keywords = "Skew slash distribution, Skew-normal distribution, Tail dependence coefficient, Variance-mean mixture",

author = "Chengxiu Ling and Zuoxiang Peng",

year = "2015",

doi = "10.4310/SII.2015.v8.n1.a6",

language = "English",

volume = "8",

pages = "63--69",

journal = "Statistics and its Interface",

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T1 - Tail dependence for two skew slash distributions

AU - Ling, Chengxiu

AU - Peng, Zuoxiang

PY - 2015

Y1 - 2015

N2 - Coefficients of tail dependence measure the dependencies between extreme values. In this paper, the upper tail dependence coefficients of two classes of skew slash distributions are derived. The difference of tail dependence coefficients between the two types skew slash distributions sheds light on the model choice for random variables with asymptotic dependence.

AB - Coefficients of tail dependence measure the dependencies between extreme values. In this paper, the upper tail dependence coefficients of two classes of skew slash distributions are derived. The difference of tail dependence coefficients between the two types skew slash distributions sheds light on the model choice for random variables with asymptotic dependence.

KW - Skew slash distribution

KW - Skew-normal distribution

KW - Tail dependence coefficient

KW - Variance-mean mixture

UR - https://www.scopus.com/pages/publications/84923101611

U2 - 10.4310/SII.2015.v8.n1.a6

DO - 10.4310/SII.2015.v8.n1.a6

M3 - Article

AN - SCOPUS:84923101611

SN - 1938-7989

VL - 8

SP - 63

EP - 69

JO - Statistics and its Interface

JF - Statistics and its Interface

IS - 1

ER -

Tail dependence for two skew slash distributions

Abstract

Keywords

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