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  • 标题:Tail dependence for two skew slash distributions
  • 作者:Chengxiu Ling ; Zuoxiang Peng
  • 期刊名称:Statistics and Its Interface
  • 印刷版ISSN:1938-7989
  • 电子版ISSN:1938-7997
  • 出版年度:2015
  • 卷号:8
  • 期号:1
  • 页码:63-69
  • DOI:10.4310/SII.2015.v8.n1.a6
  • 出版社:International Press
  • 摘要:Coefficients of tail dependence measure the dependencies between extreme values. In this paper, the upper tail dependence coefficients of two classes of skew slash distributions are derived. The difference of tail dependence coefficients between the two types skew slash distributions sheds light on the model choice for random variables with asymptotic dependence.
  • 关键词:tail dependence coefficient; skew slash distribution; skew-normal distribution; variance-mean mixture
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