Tail dependence for two skew t distributions

Thomas Fung; Eugene Seneta

doi:10.1016/j.spl.2010.01.011

Tail dependence for two skew t distributions

Thomas Fung, Eugene Seneta^*

^*Corresponding author for this work

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

25 Citations (Scopus)

Abstract

We examine two bivariate skew t distributions, both of which generalize the bivariate symmetric t distribution. The second, based on the bivariate skew normal distribution, always displays positive asymptotic lower tail dependence. The difference is associated with the varying tail behavior of the marginals.

Original language	English
Pages (from-to)	784-791
Number of pages	8
Journal	Statistics and Probability Letters
Volume	80
Issue number	9-10
DOIs	https://doi.org/10.1016/j.spl.2010.01.011
Publication status	Published - 2010
Externally published	Yes

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10.1016/j.spl.2010.01.011

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

abstract = "We examine two bivariate skew t distributions, both of which generalize the bivariate symmetric t distribution. The second, based on the bivariate skew normal distribution, always displays positive asymptotic lower tail dependence. The difference is associated with the varying tail behavior of the marginals.",

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language = "English",

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AU - Seneta, Eugene

PY - 2010

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AB - We examine two bivariate skew t distributions, both of which generalize the bivariate symmetric t distribution. The second, based on the bivariate skew normal distribution, always displays positive asymptotic lower tail dependence. The difference is associated with the varying tail behavior of the marginals.

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DO - 10.1016/j.spl.2010.01.011

M3 - Article

AN - SCOPUS:77949874486

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VL - 80

SP - 784

EP - 791

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 9-10

ER -

Tail dependence for two skew t distributions

Abstract

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