Domain of attraction, Bivariate, extreme value distribution, Coefficient; of; tail, dependence, Unit, Fréchet, margin
Abstract:
The tail behaviour of many bivariate distributions with unit Fréchet margins can be characterised by the coefficient of tail dependence and a slowly varying function. We show that such a characterisation is not always possible, and neither implies nor is implied by the fact that the distribution belongs to the domain of attraction of a bivariate extreme value distribution.
Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.
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