| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155102 | Statistics & Probability Letters | 2008 | 12 Pages |
Abstract
We derive the upper tail dependence coefficient (TDC) for a random vector following a grouped skewed tt-distribution. We also analyze the impact of parameter changes on the TDC.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Konrad Banachewicz, Aad van der Vaart,