Abstract
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 language | English |
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| Title of host publication | 60th ISI World Statistics Congress |
| Subtitle of host publication | proceedings |
| Place of Publication | The Hague, The Netherlands |
| Publisher | International Statistical Institute |
| Pages | 2212-2217 |
| Number of pages | 6 |
| ISBN (Print) | 9789073592353 |
| Publication status | Published - 2015 |
| Event | World Statistics Congress of the International Statistical Institute (60th : 2015) - Rio de Janeiro Duration: 26 Jul 2015 → 31 Jul 2015 |
Conference
| Conference | World Statistics Congress of the International Statistical Institute (60th : 2015) |
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| City | Rio de Janeiro |
| Period | 26/07/15 → 31/07/15 |
Keywords
- asymptotic tail dependence coefficient
- power law
- tail order