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Distributions That Are Both Subexponential and in the Domain of Attraction of an Extreme-Value Distribution

✍ Scribed by Charles M. Goldie and Sidney Resnick

Book ID
125060050
Publisher
Applied Probability Trust
Year
1988
Tongue
English
Weight
990 KB
Volume
20
Category
Article
ISSN
0001-8678

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πŸ“œ SIMILAR VOLUMES

Examples for the coefficient of tail dep
Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
✍ Martin Schlather πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 102 KB

The tail behaviour of many bivariate distributions with unit Frà echet margins can be characterised by the coe cient 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 bel