Tail dependence convergence rate of a skew-t and of a skew normal distribution

Thomas Fung, Eugene Seneta

    Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionpeer-review


    We first examine the rate of decay to the limit of the lower tail dependence function i.e. the asymptotic tail dependence coefficient of a bivariate skew-t distribution. It is important to consider the correction term as the tail dependence function can be much different from its limit. We find that the rate is asymptotically a power-law. The results contain as a special case the usual bivariate symmetric t distribution, and hence the skew t distribution we consider here is an appropriate (skew) extension. We then discuss briey the rate of convergence for the skew normal distribution under an equal-skewness condition.
    Original languageEnglish
    Title of host publication60th ISI World Statistics Congress
    Subtitle of host publicationproceedings
    Place of PublicationThe Hague, The Netherlands
    PublisherInternational Statistical Institute
    Number of pages6
    ISBN (Print)9789073592353
    Publication statusPublished - 2015
    EventWorld Statistics Congress of the International Statistical Institute (60th : 2015) - Rio de Janeiro
    Duration: 26 Jul 201531 Jul 2015


    ConferenceWorld Statistics Congress of the International Statistical Institute (60th : 2015)
    CityRio de Janeiro


    • asymptotic tail dependence coefficient
    • power law
    • tail order


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