The bivariate normal copula function is regularly varying

Thomas Fung; Eugene Seneta

doi:10.1016/j.spl.2011.06.003

The bivariate normal copula function is regularly varying

Thomas Fung^*, Eugene Seneta

^*Corresponding author for this work

Research output: Contribution to journal › Article

6 Citations (Scopus)

Abstract

We derive the rate of decay of the tail dependence of the bivariate normal distribution and establish its link with regularly varying functions. This result is an initial step in explaining the discrepancy between a zero asymptotic tail dependence coefficient and mass in the tail of a joint distribution.

Original language	English
Pages (from-to)	1670-1676
Number of pages	7
Journal	Statistics and Probability Letters
Volume	81
Issue number	11
DOIs	https://doi.org/10.1016/j.spl.2011.06.003
Publication status	Published - Nov 2011

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10.1016/j.spl.2011.06.003

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title = "The bivariate normal copula function is regularly varying",

abstract = "We derive the rate of decay of the tail dependence of the bivariate normal distribution and establish its link with regularly varying functions. This result is an initial step in explaining the discrepancy between a zero asymptotic tail dependence coefficient and mass in the tail of a joint distribution.",

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