Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153522 | Statistics & Probability Letters | 2011 | 7 Pages |
Abstract
We derive the rate of decay of the tail dependence of the bivariate normal distribution and establish its link with regularly varying functions. This result is an initial step in explaining the discrepancy between a zero asymptotic tail dependence coefficient and mass in the tail of a joint distribution.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Thomas Fung, Eugene Seneta,