Stable tail dependence functions – some basic properties

نویسندگان

چکیده

Abstract We prove some important properties of the extremal coefficients a stable tail dependence function (“STDF”) and characterise logistic related STDFs. The well known sufficient conditions for composebility STDFs are shown to be also necessary.

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ژورنال

عنوان ژورنال: Dependence Modeling

سال: 2022

ISSN: ['2300-2298']

DOI: https://doi.org/10.1515/demo-2022-0114