Tail order and intermediate tail dependence of multivariate copulas
نویسندگان
چکیده
منابع مشابه
Tail order and intermediate tail dependence of multivariate copulas
In order to study copula families that have different tail patterns and tail asymmetry than multivariate Gaussian and t copulas, we introduce the concepts of tail order and tail order functions. These provide an integrated way to study both tail dependence and intermediate tail dependence. Some fundamental properties of tail order and tail order functions are obtained. For the multivariate Arch...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2011
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2011.05.011