|
Document Type:
|
Article
|
|
Year of publication:
|
2001
|
|
The title of a journal, publication series:
|
Statistics & Probability Letters
|
|
Volume:
|
53
|
|
Issue number:
|
3
|
|
Page range:
|
325-329
|
|
Place of publication:
|
Amsterdam
|
|
Publishing house:
|
North-Holland Publ.
|
|
ISSN:
|
0167-7152
|
|
Publication language:
|
English
|
|
Institution:
|
School of Business Informatics and Mathematics > Mathematische Statistik (Schlather 2012-)
|
|
Subject:
|
510 Mathematics
|
|
Keywords (English):
|
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.
|
Search Authors in
