Weng, Chengguo; Zhang, Yi - In: Journal of Multivariate Analysis 106 (2012) C, pp. 178-186
The multivariate regular variation (MRV) is one of the most important tools in modeling multivariate heavy-tailed phenomena. This paper characterizes the MRV distributions through the tail dependence function of the copula associated with them. Along with some existing results, our studies...