Statistics and Its Interface
Volume 8 (2015)
Special Issue on Extreme Theory and Application (Part II)
Guest Editors: Yazhen Wang and Zhengjun Zhang
Tail dependence for two skew slash distributions
Pages: 63 – 69
Coefficients of tail dependence measure the dependencies between extreme values. In this paper, the upper tail dependence coefficients of two classes of skew slash distributions are derived. The difference of tail dependence coefficients between the two types skew slash distributions sheds light on the model choice for random variables with asymptotic dependence.
tail dependence coefficient, skew slash distribution, skew-normal distribution, variance-mean mixture
2010 Mathematics Subject Classification
Primary 60G15. Secondary 60G70.
Published 13 February 2015