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The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and...
Persistent link: https://www.econbiz.de/10010847663
A new means of estimating the correlation coefficient for cluster binary data in the regression settings is introduced. The creation of this method is founded upon the violation of Bartlett’s second identity when adopting the binomial distributions to model binary data that are correlated. The...
Persistent link: https://www.econbiz.de/10010998428
Persistent link: https://www.econbiz.de/10008775808