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