Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

The tail behaviour of many bivariate distributions with unit Fréchet margins can be characterised by the coefficient of tail dependence and a slowly varying function. We show that such a characterisation is not always possible, and neither implies nor is implied by the fact that the distribution belongs to the domain of attraction of a bivariate extreme value distribution.

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Year of publication:	2001
Authors:	Schlather, Martin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 53.2001, 3, p. 325-329
Publisher:	Elsevier
Keywords:	Domain of attraction Bivariate extreme value distribution Coefficient of tail dependence Unit Fréchet margin

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138099